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Fixed income mathematics :analytical...

Fabozzi, Frank J.

Fixed income mathematics :analytical and statistical techniques /

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
正題名/作者:	Fixed income mathematics :Frank J. Fabozzi.
其他題名:	analytical and statistical techniques /
作者:	Fabozzi, Frank J.
出版者:	New York :McGraw-Hill,c2006.
面頁冊數:	xix, 649 p. :ill. ;24 cm.
標題:	Fixed-income securitiesMathematics.
電子資源:	http://www.loc.gov/catdir/toc/ecip0516/2005020285.html
電子資源:	http://www.loc.gov/catdir/enhancements/fy0668/2005020285-b.html
電子資源:	http://www.loc.gov/catdir/enhancements/fy0668/2005020285-d.html
ISBN:	007146073X :

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

Fixed income mathematics :analytical and statistical techniques /Frank J. Fabozzi. - 4th ed. - New York :McGraw-Hill,c2006. - xix, 649 p. :ill. ;24 cm.

Includes bibliographical references and index.

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.

ISBN: 007146073X :NT2608

LCCN: 2005020285

Nat. Bib. No.: GBA587592bnb

Nat. Bib. Agency Control No.: 013314916UkSubjects--Topical Terms:

238947
Fixed-income securities
--Mathematics.

LC Class. No.: HG4650 / .F33 2006

Dewey Class. No.: 332.63/2/0151

Fixed income mathematics :analytical and statistical techniques /
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100 $a Fabozzi, Frank J. $3 202979
245 1 0 $a Fixed income mathematics : $b analytical and statistical techniques / $c Frank J. Fabozzi.
250 $a 4th ed.
260 $a New York : $c c2006. $b McGraw-Hill,
300 $a xix, 649 p. : $b ill. ; $c 24 cm.
504 $a Includes bibliographical references and index.
505 0 $a 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.
505 0 $a 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.
650 $a Fixed-income securities $x Mathematics. $3 238947
650 $a Rate of return. $3 231144
856 4 1 $3 Table of contents $u http://www.loc.gov/catdir/toc/ecip0516/2005020285.html $z http://www.loc.gov/catdir/toc/ecip0516/2005020285.html
856 4 2 $3 Contributor biographical information $u http://www.loc.gov/catdir/enhancements/fy0668/2005020285-b.html $z http://www.loc.gov/catdir/enhancements/fy0668/2005020285-b.html
856 4 2 $3 Publisher description $u http://www.loc.gov/catdir/enhancements/fy0668/2005020285-d.html $z http://www.loc.gov/catdir/enhancements/fy0668/2005020285-d.html

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http://www.loc.gov/catdir/toc/ecip0516/2005020285.html
http://www.loc.gov/catdir/enhancements/fy0668/2005020285-b.html
http://www.loc.gov/catdir/enhancements/fy0668/2005020285-d.html

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