Sanjay K. Nawalkha, Gloria M. Soto, Natalia A. Beliaeva
Wiley Finance Series
Hoboken, New Jersey: Wiley, 2005
396pp, ISBN: 978-0-471-42724-7
This is comprehensive introduction to interest rate risk, which details the most common models used for pricing and risk analysis of various fixed income securities and their derivatives. It explains how to measure and manage interest rate risk, how the various modeling techniques are used by fixed-income professionals, and illustrates the application of these models to a range of products.