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HG4650 .F33 2006
Fixed income analysis
2007
Fabozzi, Frank J.
Green Library » HG4650 .F329 2007
Fixed income mathematics
1997
Fabozzi, Frank J.
Business Library » HG4650 .F33 1997
Fixed income mathematics
2006
Fabozzi, Frank J.
Math & Statistics Library » HG4650 .F33 2006
Introduction to fixed income analytics
2010
Fabozzi, Frank J.
»
Introduction to fixed income analytics
2010
Fabozzi, Frank J.
Business Library » HG4650 .F335 2010
Introduction to fixed income analytics
2010
Fabozzi, Frank J.
»
Introduction to fixed income analytics
2010
Fabozzi, Frank J.
»
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Fixed income mathematics : analytical and statistical techniques / Frank J. Fabozzi.
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Summary
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HG4650 .F33 2006
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HG4650 .F33 2006
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Author/Creator:
Fabozzi, Frank J.
Language:
English.
Publication date:
2006
Imprint:
4th ed.  New York : McGrawHill, c2006.
Format:
Book
xix, 649 p. : ill ; 24 cm.
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.
Subjects:
Fixedincome securities
>
Mathematics.
Rate of return.
Valeurs mobilières à revenus fixes
>
Mathématiques.
Taux de rendement.
Finanzmathematik.
ISBN:
007146073X
9780071460736
Catkey: 9640349
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