This article derives and tests a multiple-factor extension of the M-square model (see Fong and Vasicek [1984] and Fong and Fabozzi [1985]), termed as the M-vector model. Tests of the M-square model indicate that the model reduces the interest rate risk inherent in the traditional duration model...

"This book's primary objective is to educate aspiring finance professionals about mathematics and computation in the context of financial derivatives. The authors offer a balance of traditional coverage and technology to fill the void between highly mathematical books and broad finance books....