Interest Rate Risk Modeling

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praise for Interest Rate Risk Modeling "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 Associate Professor of Finance, Santa Clara University Coeditor, Journal of Derivatives "The trilogy on the Fixed Income Valuation 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 Frederick Frank Adjunct Professor of Finance, Yale University Editor of the Journal of Portfolio Management "The authors are to be commended for 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 President, Thomas Ho Company Coauthor of The Oxford Guide to Financial Modeling "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 Associate Professor of Finance, Indiana University, Bloomington Author of Excel Modeling in Investments "A pedagogical and comprehensive treatment of interest rate dynamics. Extremely helpful to understand the theory and build applications." --Nassim Nicholas Taleb Author of Dynamic Hedging: Managing Vanilla and Exotic Options and Fooled by Randomness