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Understanding and Managing Interest Rate Risks

Author

Listed:
  • Ren-Raw Chen

    (Rutgers University, USA)

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.

Individual chapters are listed in the "Chapters" tab

Suggested Citation

  • Ren-Raw Chen, 1996. "Understanding and Managing Interest Rate Risks," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 3182.
    • Handle: RePEc:wsi:wsbook:3182
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    File URL: https://www.worldscientific.com/worldscibooks/10.1142/3182
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    Cited by:

    1. Jorge de Andrés-Sánchez, 2023. "Fuzzy Random Option Pricing in Continuous Time: A Systematic Review and an Extension of Vasicek’s Equilibrium Model of the Term Structure," Mathematics, MDPI, vol. 11(11), pages 1-21, May.
    2. Jakob Lichtner, Marcus Riekeberg, Friedrich Thie?en, Thomas Maurer, 2018. "Evaluation of Banks' Interest Rate Risk: An Alternative Approach," Applied Economics and Finance, Redfame publishing, vol. 5(6), pages 111-125, November.

    Book Chapters

    The following chapters of this book are listed in IDEAS

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