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.