Understanding and Managing Interest Rate Risks (Series in Mathematical Finance, V. 1)

Author: Ren-Raw Chen
List Price: $38.00
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ISBN: 9810227515
Publisher: World Scientific Pub Co (December, 1996)
Sales Rank: 631,810
Average Customer Rating: 5 out of 5

Customer Reviews

Rating: 5 out of 5
The book is too short, 2nd edition coming?
I like this book. It provides a good summary of a complete list of the term structure models. Best of all, it contains a consistent methodology for deriving interest rate derivatives. The forward measure technique is explained very well. However, symbols are not clear and later chapters are too "concise". I would like to see more numerical examples. Also, an inclusion of numerical methods should be helpful.

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