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**Book Resources**

CD-ROM with numerous formulas and programming tools that allow readers to play with the models in the book

**Online Resources**

**Preface**

This is the first book of the trilogy on a fixed-income valuation course by Wiley finance. This trilogy covers the following three areas of fixed-income valuation: 1. Interest rate risk modeling. 2. Term structure modeling. 3. Credit risk modeling. In the first book, we give a basic introduction to various fixed-income securities and their derivatives. The principal focus of this book is on measuring and managing interest rate risk arising from general nonparallel rate changes in the term structure of interest rates... read more

**Table of Contents**

Chapter 1. Interest Rate Risk Modeling: An Overview

Chapter 2. Bond Price, Duration, and Convexity

Chapter 3. Estimation of the Term Structure of Interest Rates

Chapter 4. M-Absolute and M-Square Risk Measures

Chapter 5. Duration Vector Models

Chapter 6. Hedging with Interest-Rate Futures

Chapter 7. Hedging with Bond Options: A General Gaussian Framework

Chapter 8. Hedging with Interest-Rate Swaps and Options using the Libor Market Model

Chapter 9. Key Rate Durations with VaR Analysis

Chapter 10. Principal Component Model with VaR Analysis

Chapter 11. Duration Models for Default-Prone Securities... read more

**Testimonials**

"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."

Sanjiv Ranjan Das, Co-Editor, Journal of Derivatives, and Associate Professor of Finance, Santa Clara University."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."

Frank J. Fabozzi, Editor, Journal of Portfolio Management, and Frederick Frank Adjunct Professor of Finance, Yale University."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."

Thomas Ho, Co-Author, The Oxford Guide to Financial Modeling, and President, Thomas Ho Company."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."

Craig Holden, Author, Excel Modeling in Investments, and Associate Professor of Finance, Indiana University, Bloomington."A pedagogical and comprehensive treatment of interest rate dynamics. Extremely helpful to understand the theory and build applications."

Nassim Nicholas Taleb, Author, Dynamic Hedging: Managing Vanilla and Exotic Options, and Fooled by Randomness.This is a list of papers prepared by the authors and related to the contents of the book. They go into specific topics in greater depth or introduce related issues or analysis. Each link will guide you to the paper in the Social Science Research Network (SSRN) from where you can see the abstract and download the paper.

- Common Misunderstandings Concerning Duration and Convexity
- Arbitrage and Equilibrium Foundations of the Duration Risk Measure
- Convexity, Risk, and Returns
- The M-Vector Model: Derivation and Testing of Extensions to M-Square
- The Duration Vector: a Continuous-Time Extension to Default-Free Interest Rate Contingent Claims
- A Contingent Claims Analysis of the Interest Rate Risk Characteristics of Corporate Liabilities