Advances In Fixed Income Valuation Modeling And Risk Management
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Advances In Fixed Income Valuation Modeling And Risk Management
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Author : Frank J. Fabozzi, CFA
language : en
Publisher: John Wiley & Sons
Release Date : 1997-01-15
Advances In Fixed Income Valuation Modeling And Risk Management written by Frank J. Fabozzi, CFA and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 1997-01-15 with Business & Economics categories.
Advances in Fixed Income Valuation Modeling and Risk Management provides in-depth examinations by thirty-one expert research and opinion leaders on topics such as: problems encountered in valuing interest rate derivatives, tax effects in U.S. government bond markets, portfolio risk management, valuation of treasury bond futures contract's embedded options, and risk analysis of international bonds.
Interest Rate Risk Modeling
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Author : Sanjay K. Nawalkha
language : en
Publisher: John Wiley & Sons
Release Date : 2005-05-31
Interest Rate Risk Modeling written by Sanjay K. Nawalkha and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005-05-31 with Business & Economics categories.
The definitive guide to fixed income valuation and risk analysis The Trilogy in Fixed Income Valuation and Risk Analysis comprehensively covers the most definitive work on interest rate risk, term structure analysis, and credit risk. The first book on interest rate risk modeling examines virtually every well-known IRR model used for pricing and risk analysis of various fixed income securities and their derivatives. The companion CD-ROM contain numerous formulas and programming tools that allow readers to better model risk and value fixed income securities. This comprehensive resource provides readers with the hands-on information and software needed to succeed in this financial arena.
Fixed Income Securities
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Author : Lionel Martellini
language : en
Publisher: John Wiley & Sons
Release Date : 2003-07-09
Fixed Income Securities written by Lionel Martellini and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003-07-09 with Business & Economics categories.
This textbook will be designed for fixed-income securities courses taught on MSc Finance and MBA courses. There is currently no suitable text that offers a 'Hull-type' book for the fixed income student market. This book aims to fill this need. The book will contain numerous worked examples, excel spreadsheets, with a building block approach throughout. A key feature of the book will be coverage of both traditional and alternative investment strategies in the fixed-income market, for example, the book will cover the modern strategies used by fixed-income hedge funds. The text will be supported by a set of PowerPoint slides for use by the lecturer First textbook designed for students written on fixed-income securities - a growing market Contains numerous worked examples throughout Includes coverage of important topics often omitted in other books i.e. deriving the zero yield curve, deriving credit spreads, hedging and also covers interest rate and credit derivatives
Advanced Fixed Income Analysis
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Author : Moorad Choudhry
language : en
Publisher: Elsevier
Release Date : 2004-06-08
Advanced Fixed Income Analysis written by Moorad Choudhry and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004-06-08 with Business & Economics categories.
This book is aimed at experienced practitioners in the corporate bond markets and is a specialised text for investors and traders. The author relates from both personal experience as well as his own research to bring together subjects of practical importance to bond market practitioners. He introduces the latest techniques used for analysis and interpretation, including:Relative value tradingApproaches to trading and hedgingDynamic analysis of spot and forward ratesInterest rate modellingFitting the yield curveAnalysing the long bond yieldIndex-linked bond analyticsCorporate bond defaults* Aspects of advanced analysis for experienced bond market practitioners* Complex topics described in an accessible style* Brings together a wide range of topics in one volume
Advanced Fixed Income Valuation Tools
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Author : Narasimhan Jegadeesh
language : en
Publisher: John Wiley & Sons
Release Date : 1999-12-28
Advanced Fixed Income Valuation Tools written by Narasimhan Jegadeesh and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999-12-28 with Business & Economics categories.
Normalerweise stehen festverzinsliche Wertpapiere für einen festen Cash Flow. In den vergangenen Jahren sind jedoch viele neue festverzinsliche Wertpapiere hinzugekommen, bei denen der erwartete Cash Flow vom jeweiligen Zinsniveau abhängt, was die Bewertung dieser Anlagen deutlich schwieriger macht. Dieses Buch behandelt die neuesten Erkenntnisse zur Bewertung festverzinslicher Wertpapiere. Diskutiert werden die Finessen mathematischer Verfahren, neue Ansätze zur Gestaltung von Laufzeitstrukturen und festverzinsliche Bewertungsverfahren im Zusammenhang mit Kreditrisiko, Hypotheken, Kommunalanleihen und indexierten Anleihen. "Advanced Fixed-Income Valuation Tools" behandelt nicht nur die theoretische Seite von Bewertungsmodellen und -verfahren, sondern auch ihre Anwendung in der Praxis. Mit Beiträgen von 24 Spitzenexperten führender Investmentbanken, Consultingunternehmen und Universitäten.
Interest Rate Term Structure And Valuation Modeling
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Author : Frank J. Fabozzi
language : en
Publisher: John Wiley & Sons
Release Date : 2002-11-29
Interest Rate Term Structure And Valuation Modeling written by Frank J. Fabozzi and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002-11-29 with Business & Economics categories.
This ultimate guide contains an excellent blend of theory and practice This comprehensive guide covers various aspects of model building for fixed income securities and derivatives. Filled with expert advice, valuable insights, and advanced modeling techniques, Interest Rate, Term Structure, and Valuation Modeling is a book that all institutional investors, portfolio managers, and risk professionals should have. John Wiley & Sons, Inc. is proud to be the publisher of the esteemed Frank J. Fabozzi Series. Comprising nearly 100 titles-which include numerous bestsellers—The Frank J. Fabozzi Series is a key resource for finance professionals and academics, strategists and students, and investors. The series is overseen by its eponymous editor, whose expert instruction and presentation of new ideas have been at the forefront of financial publishing for over twenty years. His successful career has provided him with the knowledge, insight, and advice that has led to this comprehensive series. Frank J. Fabozzi, PhD, CFA, CPA, is Editor of the Journal of Portfolio Management, which is read by thousands of institutional investors, as well as editor or author of over 100 books on finance for the professional and academic markets. Currently, Dr. Fabozzi is an adjunct Professor of Finance at Yale University's School of Management and on the board of directors of the Guardian Life family of funds and the Black Rock complex of funds.
The Advanced Fixed Income And Derivatives Management Guide
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Author : Saied Simozar
language : en
Publisher: John Wiley & Sons
Release Date : 2015-06-15
The Advanced Fixed Income And Derivatives Management Guide written by Saied Simozar and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-06-15 with Business & Economics categories.
A highly-detailed, practical analysis of fixed income management The Advanced Fixed Income and Derivatives Management Guide provides a completely novel framework for analysis of fixed income securities and portfolio management, with over 700 useful equations. The most detailed analysis of inflation linked and corporate securities and bond options analysis available;, this book features numerous practical examples that can be used for creating alpha transfer to any fixed income portfolio. With a framework that unifies back office operations, such as risk management and portfolio management in a consistent way, readers will be able to better manage all sectors of fixed income, including bonds, mortgages, credits, and currencies, and their respective derivatives, including bond and interest rate futures and options, callable bonds, credit default swaps, interest rate swaps, swaptions and inflation swaps. Coverage includes never-before-seen detail on topics including recovery value, partial yields, arbitrage, and more, and the companion website features downloadable worksheets that can be used for measuring the risks of securities based on the term structure models. Many theoretical models of the Term Structure of Interest Rates (TSIR) lack the accuracy to be used by market practitioners, and the most popular models are not mathematically stable. This book helps readers develop stable and accurate TSIR for all fundamental rates, enabling analysis of even the most complex securities or cash flow structure. The components of the TSIR are almost identical to the modes of fluctuations of interest rates and represent the language with which the markets speak. Examine unique arbitrage, risk measurement, performance attribution, and replication of bond futures Learn to estimate recovery value from market data, and the impact of recovery value on risks Gain deeper insight into partial yields, product design, and portfolio construction Discover the proof that corporate bonds cannot follow efficient market hypothesis This useful guide provides a framework for systematic and consistent management of all global fixed income assets based on the term structure of rates. Practitioners seeking a more thorough management system will find solutions in The Advanced Fixed Income and Derivatives Management Guide.
Advanced Fixed Income Analysis
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Author : Moorad Choudhry
language : en
Publisher: Elsevier
Release Date : 2015-08-28
Advanced Fixed Income Analysis written by Moorad Choudhry and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-08-28 with Business & Economics categories.
Each new chapter of the Second Edition covers an aspect of the fixed income market that has become relevant to investors but is not covered at an advanced level in existing textbooks. This is material that is pertinent to the investment decisions but is not freely available to those not originating the products. Professor Choudhry's method is to place ideas into contexts in order to keep them from becoming too theoretical. While the level of mathematical sophistication is both high and specialized, he includes a brief introduction to the key mathematical concepts. This is a book on the financial markets, not mathematics, and he provides few derivations and fewer proofs. He draws on both his personal experience as well as his own research to bring together subjects of practical importance to bond market investors and analysts. - Presents practitioner-level theories and applications, never available in textbooks - Focuses on financial markets, not mathematics - Covers relative value investing, returns analysis, and risk estimation
Advanced Fixed Income Analytics
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Author : Wesley Phoa
language : en
Publisher: John Wiley & Sons
Release Date : 1997-11-09
Advanced Fixed Income Analytics written by Wesley Phoa and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 1997-11-09 with Business & Economics categories.
Advanced Fixed Income Analytics helps fixed income professionals stay abreast of the latest developments in the field by providing a practical account of quantitative methods in the fixed income market. Wesley Phoa covers a variety of important topics within the bond markets, including inflation-indexed bonds, prepayment risk and modeling, term structure models, credit spread and volatility risk, and risk measures and return attribution. The information and guidance of Advanced Fixed Income Analytics has a strong emphasis on empirical analysis and practical applications that will prepare you for anything within the fixed income market.
Valuation Of Interest Rate Swaps And Swaptions
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Author : Gerald W. Buetow
language : en
Publisher: John Wiley & Sons
Release Date : 2000-06-15
Valuation Of Interest Rate Swaps And Swaptions written by Gerald W. Buetow and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000-06-15 with Business & Economics categories.
Among the major innovations in the financial markets have been interest rate swaps and swapations, instruments which entail having an arrangement to barter differently structured payment flows for a particular period of time. These instruments have furnished portfolio and risk managers and corporate treasurers with a better tool for controlling interest rate risk. Valuation of Interest Rate Swaps and Swapations explains how interest rate swaps are valued and the factors that affect their value-an ideal way to manage interest or income payments. Various valuations approaches and models are covered, with special end-of-chapter questions and solutions included.