Handbook of Finance: Valuation, Financial Modeling, and Quantitative Tools

REFERENCES

D. Audley, R. Chin, and S. Ramamurthy (2005). OAS and effective duration. In F. J.Fabozzi (ed.), The Handbook of Fixed Income Securities, 7th edition (pp. 897–912). New York: McGraw-Hill.

F. J. Fabozzi (2006). Fixed Income Mathematics.New York: McGraw-Hill.

F. J. Fabozzi, G. W. Buetow Jr., and R. R. Johnson (2005). Measuring interest-rate risk. In F. J.Fabozzi (ed.), The Handbook of Fixed Income Securities, 7th edition (pp. 183–225). New York: McGraw-Hill.

F. J. Fabozzi, S. Ramamurthy, and M. Pitts (2005). Controlling interest-rate risk with futures and options. In F. J.Fabozzi (ed.), The Handbook of Fixed Income Securities, 7th edition (pp. 1301–1334). New York: McGraw-Hill.

L. Martellini, P. Priaulet, and F. J. Fabozzi (2005). Hedging interest-rate risk with term-structure factor models. In F. J.Fabozzi (ed.), The Handbook of Fixed Income Securities, 7th edition (pp. 967–986). New York: McGraw-Hill.