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Pricing and hedging interest and credit risk sensitive instruments

Author: Frank Skinner
Publisher: Oxford [England] ; Burlington, MA : Elsevier Butterworth-Heinemann, 2005.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
This book is tightly focused on the pricing and hedging of fixed income securities and their derivatives. It is targeted at those who are interested in trading these instruments in an investment bank, but is also useful for those responsible for monitoring compliance of the traders such as regulators, back office staff, middle and senior lever managers. To broaden its appeal, this book lowers the barriers to  Read more...
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Genre/Form: Electronic books
Additional Physical Format: Print version:
Skinner, Frank, 1957-
Pricing and hedging interest and credit risk sensitive instruments.
Oxford [England] ; Burlington, MA : Elsevier Butterworth-Heinemann, 2005
(DLC) 2004050697
(OCoLC)55108987
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Frank Skinner
ISBN: 9780750662598 075066259X 9780080473956 0080473954
OCLC Number: 213298533
Description: 1 online resource (x, 375 pages) : illustrations
Contents: An Introduction to Interest Rate and Credit Sensitive Instruments; The Sovereign Term Structure and the Risk Structure of Interest Rates; Measuring the Existing Sovereign Term Structure and the Risk Structure of Interest Rates; Modelling the Sovereign Term Structure of Interest Rates: The Binomial Approach; Interest Rate Modelling: The term structure consistent approach; Interest and Credit Risk Modelling; Hedging Sovereign Bonds: The Traditional Approach; Active and Passive Strategies; Alternative Hedge Ratios; Pricing and Hedging Non-Fixed Income Securities; Credit Derivatives; Embedded Options.
Responsibility: Frank Skinner.

Abstract:

Focuses on the pricing and hedging of fixed income securities and their derivatives. This work provides numerical examples rather than mathematical equations to aid understanding of the strengths and  Read more...

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