Understanding And Managing Interest Rate Risks (Studies of Nonlinear Phenomena in Life Sciences) [Paperback]

Ren-Raw Chen (Author)

Book Description

Publication Date: October 4, 1996 | ISBN-10: 9810227515 | ISBN-13: 978-9810227517

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.

Product Details

• Paperback: 174 pages
• Publisher: Wspc (October 4, 1996)
• Language: English
• ISBN-10: 9810227515
• ISBN-13: 978-9810227517
• Product Dimensions: 8.6 x 6 x 0.7 inches
• Shipping Weight: 12.8 ounces (View shipping rates and policies)
• Average Customer Review: 5.0 out of 5 stars  See all reviews (1 customer review)
• Amazon Best Sellers Rank: #3,220,838 in Books (See Top 100 in Books)

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Customer Reviews

Most Helpful Customer Reviews

3 of 4 people found the following review helpful:

5.0 out of 5 stars The book is too short, 2nd edition coming?, February 9, 1998

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[e-mail] (New York) - See all my reviews

This review is from: Understanding And Managing Interest Rate Risks (Studies of Nonlinear Phenomena in Life Sciences) (Paperback)

I like this book. It provides a good summary of a complete list of the term structure models. Best of all, it contains a consistent methodology for deriving interest rate derivatives. The forward measure technique is explained very well. However, symbols are not clear and later chapters are too "concise". I would like to see more numerical examples. Also, an inclusion of numerical methods should be helpful.