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Fixed income mathematics : analytical and statistical techniques / Frank J. Fabozzi.

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Author/Creator:
Fabozzi, Frank J.
Language:
English.
Publication date:
2006
Imprint:
4th ed. - New York : McGraw-Hill, 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 option-free 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 mortgage-backed securities
  • Prepayment models for mortgage-backed securities
  • Basics of MBS structuring
  • Analysis of agency mortgage-backed 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 option-free 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 mortgage-backed securities
  • Prepayment modeling (new)
  • Basics of MBS structuring (new)
  • Analysis of agency mortgage-backed securities
  • Basics of probability theory and statistics
  • Regresssion analysis
  • Statistical techniques for credit scoring and risk factor identification (new)
  • Tracking error and multi-factor risk models (new)
  • Monte Carlo simulation
  • Optimization.
Subjects:
ISBN:
007146073X
9780071460736

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