Interest rate risk modeling : an overview
Bond price, duration, and convexity
Estimation of the term structure of interest rates
M-absolute and M-square risk measures
Duration vector models
Hedging with interest-rate futures
Hedging with bond options: a general gaussian framework
Hedging with interest-rate swaps and options:
Key rate durations with var analysis
Principal component model with var analysis
Duration models for default-prone securities.
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Interest rate risk modeling : the fixed income valuation course by Sanjay K. Nawalkha. ISBN 9780471427247. Published by John Wiley in 2005. Publication and catalogue information, links to buy online and reader comments.
