Understanding and Managing Interest Rate Risks

Ren-Raw Chen
Additional contact information
Ren-Raw Chen: Rutgers University, USA

in World Scientific Books from World Scientific Publishing Co. Pte. Ltd.

Abstract: 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.

Keywords: Interest Rate Risk; Term Structure Models; Options; Futures; Hedging; Fixed Income Securities (search for similar items in EconPapers)
Date: 1996
ISBN: 9789810227517
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://www.worldscientific.com/worldscibooks/10.1142/3182 (text/html)
Ebook Access is available upon purchase

Chapters in this book:

Ch 1 BOND PRIMER , pp 1-17

Ren-Raw Chen

Ch 2 TERM STRUCTURE MODELS , pp 19-54

Ren-Raw Chen

Ch 3 OPTIONS AND FUTURES , pp 55-74

Ren-Raw Chen

Ch 4 COMMON INTEREST RATE CONTRACTS , pp 75-105

Ren-Raw Chen

Ch 5 PARAMETER ESTIMATION , pp 107-126

Ren-Raw Chen

Ch 6 HEDGING INTEREST RATE RISKS , pp 127-135

Ren-Raw Chen

Ch 7 CURRENT PROBLEMS AND FUTURE RESEARCH , pp 137-144

Ren-Raw Chen

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wsi:wsbook:3182

Ordering information: This item can be ordered from

Access Statistics for this book

More books in World Scientific Books from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().