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Hedging interest-rate risk with term-structure factor models.
Chapter
Contents : Defining interest-rate risk(s)
Hedging with duration
Relaxing the assumption of a small shift
Relaxing the assumption of a parallel shift
Comparative analysis of various hedging techniques
Key points
Language : English
Location : Nice Library
Material : Paper
Faculty's books : Oui
Owner : Bibliothèque
Included in
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[List]
List of faculty's books
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[Book]
The handbook of fixed income securities.
/ FABOZZI Frank J. ; MANN Steven V..
-NEW YORK : MC GRAW HILL, 2012. - 1809