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Understand & Managing Interest Rate.(V1)

Understand & Managing Interest Rate.(V1)

Hardcover

Series: Math'l Finance, Book 1

General Mathematics

ISBN10: 9810227515
ISBN13: 9789810227517
Publisher: World Scientific Publishing Company
Published: Oct 4 1996
Pages: 176
Weight: 0.79
Height: 0.60 Width: 6.20 Depth: 8.60
Language: English

The book is a systematic summary of modern term structure theories and how interest rate contingent claims are priced under such theories. This is the first book on such an attempt. The book reviews important term structure models and chooses one model to consistantly demonstrate contingent claim pricing. Well-known models are included and their relationships are thoroughly discussed. The book also provides a complete process of model implementation from parameter estimation to hedging. Examples are provided throughout.

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General Mathematics