{"product_id":"interest-rate-risk-modeling-the-fixed-income-valuation-course-hardcover","title":"Interest Rate Risk Modeling: The Fixed Income Valuation Course - Hardcover","description":"\u003cdiv\u003e\u003cp style=\"text-align: right;\"\u003e\u003ca href=\"https:\/\/reportcopyrightinfringement.com\/\" target=\"_blank\" rel=\"nofollow\"\u003e\u003cb\u003eReport copyright infringement\u003c\/b\u003e\u003c\/a\u003e\u003c\/p\u003e\u003c\/div\u003e\u003cp\u003eby \u003cb\u003eSanjay K. Nawalkha\u003c\/b\u003e (Author), \u003cb\u003eGloria M. Soto\u003c\/b\u003e (Author), \u003cb\u003eNatalia A. Beliaeva\u003c\/b\u003e (Author)\u003c\/p\u003e\u003cp\u003eThe definitive guide to fixed income valuation and risk analysis \u003c\/p\u003e\u003cp\u003eThe Trilogy in Fixed Income Valuation and Risk Analysis comprehensively covers the most definitive work on interest rate risk, term structure analysis, and credit risk. The first book on interest rate risk modeling examines virtually every well-known IRR model used for pricing and risk analysis of various fixed income securities and their derivatives. The companion CD-ROM contain numerous formulas and programming tools that allow readers to better model risk and value fixed income securities. This comprehensive resource provides readers with the hands-on information and software needed to succeed in this financial arena.\u003c\/p\u003e\u003ch3\u003eFront Jacket\u003c\/h3\u003e\u003cp\u003eThe importance of managing interest rate risk cannot be overstated. The explosive growth of interest rate swaps over the last quarter century is a telling sign that financial institutions and other market participants are concerned about the risk interest rates pose. Yet there is no easy way to address this issue. This book--the first of three in the Fixed Income Valuation Course--seeks to improve the current information available on interest rate risk, and upgrade your understanding of how to measure and manage it. \u003c\/p\u003e\u003cp\u003eWritten by fixed income specialists Sanjay Nawalkha, Gloria Soto, and Natalia Beliaeva, Interest Rate Risk Modeling offers a detailed introduction to the various modeling techniques used by today's fixed income professionals. Whether you're measuring the non-parallel durations of a naked call option, adjusting the notional amounts in swaps and caps using the LIBOR market model, or computing the durations of default-prone bonds using the cutting-edge first-passage probability models, this book has what you need to succeed in a volatile interest rate environment. It examines the latest innovations in the area of interest rate risk management and provides a detailed look at the most widely used models in this field, including duration, convexity, M-absolute, M-square, duration vector, key rate durations, principal component durations, and others.\u003c\/p\u003e \u003cp\u003eInterest Rate Risk Modeling also illustrates the applications of these models to regular bonds, callable bonds, T-Bill futures, T-Bond futures, Eurodollar futures, interest rate swaps, forward rate agreements, bond options, yield options (caps, floors, and collars), swaptions, mortgage-backed securities, and default-prone coupon bonds.\u003c\/p\u003e \u003cp\u003eAccompanying the authors' in-depth insights and practical advice found within these pages is an information-packed CD-ROM that can show a term structure \"movie\" or estimate yield curves in seconds, in addition to solving the advanced risk management models. This electronic companion contains Excel(R)\/VBA(R) spreadsheets for hands-on analysis, using various models presented in the book. Through a user-friendly format, these spreadsheets compute non-parallel interest rate risk measures for a variety of interest rate derivatives, and can implement passive portfolio strategies, such as immunization and index replication, or speculative strategies based upon expected yield curve movements.\u003c\/p\u003e \u003cp\u003eWhether you are a manager of a pension bond fund, a manager of GICs at an insurance company, an analyst at a speculative hedge fund, or a VP at a commercial bank, if you want to excel at measuring and managing interest rate risk, you have to understand how to model it. Interest Rate Risk Modeling can show you how.\u003c\/p\u003e \u003cp\u003eFor more information on the three books in this course, including demo software and special features, please visit www.fixedincomerisk.com.\u003c\/p\u003e\u003ch3\u003eBack Jacket\u003c\/h3\u003e\u003cp\u003ePraise for \u003ci\u003e\u003cb\u003eInterest Rate Risk Modeling\u003c\/b\u003e\u003c\/i\u003e \u003c\/p\u003e\u003cp\u003e\"This first book in the fixed income valuation course provides a solid, up-to-date introduction to the field of interest rate risk, and covers all bases in leading up to the complex area of fixed-income option models. For the more experienced, this is an excellent guide to the state of the art, and provides models coupled with software to make the practical use of the ideas therein feasible.\"\u003cbr\u003e --Sanjiv Ranjan Das, Co-Editor, \u003ci\u003eJournal of Derivatives\u003c\/i\u003e, and Associate Professor of Finance, Santa Clara University\u003c\/p\u003e \u003cp\u003e\"The trilogy on the fixed income course is the first one with hands on Excel\/VBA software for fixed income professionals. These are terrific books for all fixed income practitioners.\"\u003cbr\u003e --Frank J. Fabozzi, Editor, \u003ci\u003eJournal of Portfolio Management\u003c\/i\u003e, and Frederick Frank Adjunct Professor of Finance, Yale University .\u003c\/p\u003e \u003cp\u003e\"The authors are commended in expositing the many interest rate risk measures in a coherent way. This book describes the theories, implementations and applications of these measures with clarity and rigor. Further, the software assists students and practitioners alike to learn about them effectively.\"\u003cbr\u003e --Thomas Ho, Co-Author, \u003ci\u003eThe Oxford Guide to Financial Modeling\u003c\/i\u003e, and President, Thomas Ho Company\u003c\/p\u003e \u003cp\u003e\"Not only does the book provide an excellent explanation of interest rate risk models, but the included software is very comprehensive and easy to use. Excel is used as the user interface throughout. It is very easy to change the inputs and recalculate a wide variety of interest rate risk models. With simple menu choices, the student or practitioner can explore many different hedging or speculation strategies. The consistent approach used in the whole trilogy of fixed income books\/software is a huge advantage.\"\u003cbr\u003e --Craig Holden, Author, \u003ci\u003eExcel Modeling in Investments\u003c\/i\u003e, and Associate Professor of Finance, Indiana University, Bloomington\u003c\/p\u003e \u003cp\u003e\"A pedagogical and comprehensive treatment of interest rate dynamics. Extremely helpful to understand the theory and build applications.\"\u003cbr\u003e --Nassim Nicholas Taleb, Author, \u003ci\u003eDynamic Hedging: Managing Vanilla and Exotic Options\u003c\/i\u003e, and \u003ci\u003eFooled by Randomness\u003c\/i\u003e\u003c\/p\u003e\u003ch3\u003eAuthor Biography\u003c\/h3\u003e\u003cp\u003e\u003cb\u003eSanjay K. Nawalkha\u003c\/b\u003e, PhD, is Associate Professor of Finance at the University of Massachusetts Amherst, where he teaches graduate courses in finance theory and fixed income. He has published extensively in academic and practitioner journals, especially in the areas of fixed income and asset pricing. He is the coeditor of the book Interest Rate Risk Measurement and Management, published by Institutional Investor. Dr. Nawalkha is also the President and founder of Nawalkha and Associates. \u003c\/p\u003e\u003cp\u003e\u003cb\u003eGloria M. Soto\u003c\/b\u003e, PhD, is Professor of Applied Economics and Finance at the University of Murcia, Spain. Dr. Soto has published extensively in both Spanish and international journals in finance, especially in the areas of interest rate risk management and related fixed income topics. She is also a partner at Nawalkha and Associates.\u003c\/p\u003e \u003cp\u003e\u003cb\u003eNatalia A. Beliaeva\u003c\/b\u003e holds an MS in computer science (artificial intelligence) and expects to receive her PhD in finance from the University of Massachusetts Amherst in 2005. Ms. Beliaeva's expertise is in the area of applied numerical methods for pricing fixed income derivatives.\u003c\/p\u003e\n            \u003cdiv\u003e\n\u003cstrong\u003eNumber of Pages:\u003c\/strong\u003e 432\u003c\/div\u003e\n            \u003cdiv\u003e\n\u003cstrong\u003eDimensions:\u003c\/strong\u003e 1.4 x 9.28 x 6.38 IN\u003c\/div\u003e\n            \u003cdiv\u003e\n\u003cstrong\u003ePublication Date:\u003c\/strong\u003e May 09, 2005\u003c\/div\u003e\n            ","brand":"BooksCloud","offers":[{"title":"Default Title","offer_id":52478125343027,"sku":"9780471427247","price":96.95,"currency_code":"USD","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0300\/5595\/6612\/files\/YzNZZDh6bEFlRDhMZ2FiUnhKYW1GUT09.webp?v=1759633061","url":"https:\/\/www.vysn.com\/en-ca\/products\/interest-rate-risk-modeling-the-fixed-income-valuation-course-hardcover","provider":"VYSN","version":"1.0","type":"link"}