Parametric versus Non-parametric Bond Pricing and Hedging Models

The book "Parametric versus Non-parametric Bond Pricing and Hedging Models" offers a comprehensive analysis of the pricing and hedging of US Treasury zero-coupon bonds. It highlights the sensitivity of financial institutions to interest rate changes and the associated risks. The author, Aryasomayajula Sekhar, compares parametric models, such as the Cox-Ingersoll-Ross model and the Longstaff-Schwartz model, with non-parametric approaches that utilize artificial neural networks. The detailed study encompasses both pricing and hedging of interest rate risks and is aimed at risk managers, fixed-income traders, and academics. The book provides an in-depth mathematical analysis and addresses the estimation and application of various interest rate models to tackle the challenges in interest rate risk management.