Provides an explanation of concepts such as duration and convexivity, as well as more advanced topics such as probability distributions and regression analysis. It also gives keys to using derivatives to control interest rate risk and controlling interest rate risk in a mortgage-backed securities derivative portfolio. Topics discussed include: measuring yield curve risk; swaps and exchange-traded options; and OTC options and related products.
- ISBN13 9781883249090
- Publish Date 31 October 1996
- Publish Status Transferred
- Out of Print 16 October 2003
- Publish Country US
- Publisher McGraw-Hill Education - Europe
- Imprint Brown (William C.) Co ,U.S.
- Format Hardcover
- Pages 280
- Language English