Fixed income mathematics : analytical and statistical techniques
 Author/Creator
 Fabozzi, Frank J.
 Language
 English.
 Edition
 4th ed.
 Imprint
 New York : McGrawHill, c2006.
 Physical description
 xix, 649 p. : ill ; 24 cm.
Access
Available online

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HG4650 .F33 2006

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HG4650 .F33 2006
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Contents/Summary
 Bibliography
 Includes bibliographical references and index.
 Contents

 Overview of fixed income securities and derivatives
 Future value
 Present value
 Yield (internal rate of return)
 The price of a bond
 Conventional yield and spread measures for bonds
 The yield curve, spot rate curve, and forward rates
 Potential sources of dollar return
 Total return
 Measuring historical performance
 Price volatility of properties of optionfree bonds
 Duration as a measure of price volatility
 Combining duration and convexity to measure price volatility
 Duration and the yield curve
 Interest rate models
 Call options : investment and price characteristics
 Valuation and price volatility of bonds with embedded options
 Credit risk concepts and measures for corporate bonds
 Measures used for securitized products
 Cash flow characteristics of amortizing loans
 Cash flow characteristics of mortgagebacked securities
 Prepayment models for mortgagebacked securities
 Basics of MBS structuring
 Analysis of agency mortgagebacked securities
 Basics of probability theory and statistics
 Regresssion analysis
 Statistical techniques for credit scoring and risk factor identification
 Tracking error and multifactor risk models
 Simulation
 Optimization models.
 Overview of fixed income securities and derivatives (new)
 Future value
 Present value
 Yield (internal rate of return)
 The price of a bond
 Conventional yield and spread measures for bonds
 The yield curve, spot rate curve, and forward rates
 Potential sources of dollar return
 Total return
 Measuring historical performance
 Price volatility of optionfree bonds
 Duration as a measure of price volatility
 Combining duration and convexity to measure price volatility
 Duration and the yield curve
 Interest rate modeling (new)
 Investment and price characteristics of options
 Valuation and price volatility of bonds with embedded options
 Credit risk concepts and measures for corporate bonds (new)
 Measures used for securitized products
 Cash flow characteristics of amortizing loans
 Cash flow characteristics of mortgagebacked securities
 Prepayment modeling (new)
 Basics of MBS structuring (new)
 Analysis of agency mortgagebacked securities
 Basics of probability theory and statistics
 Regresssion analysis
 Statistical techniques for credit scoring and risk factor identification (new)
 Tracking error and multifactor risk models (new)
 Monte Carlo simulation
 Optimization.
 Supplemental links

Table of contents
Contributor biographical information
Publisher description
Table of Contents
Subjects
Bibliographic information
 Publication date
 2006
 Responsibility
 Frank J. Fabozzi.
 ISBN
 007146073X
 9780071460736