Fixed income mathematics : analytical & statistical techniques / Frank J. Fabozzi
Digitised Book 216.73.216.10 (0)
1994
Information About
This text not only explains concepts useful in fixed-income analysis but also establishes the foundation needed for computation, and describes their limitations and application to fixed-income portfolio management. It begins with the basic elements of the mathematics of finance and systematically builds on these, taking you through the most state-of-the art methodologies for evaluating fixed-income securities with embedded options, such as callable corporate bonds, and mortgage-backed securities.
Additional Details
- Title
- Fixed income mathematics : analytical & statistical techniques / Frank J. Fabozzi
- Creators
-
- Fabozzi, Frank J.
- Subject
-
- Fixed-income securities--Mathematics
- Rate of return
- Publisher
-
- Heinemann Asia, 1994
- National Library Board Singapore, 1994
- Digital Description
- application/pdf, ill.
- Table of Contents
-
- 1. Introduction -- pt. I. Time value of money. 2. Future value. 3. Present value... -- pt. II. Bond pricing and return analysis. 5. The price of a bond. 6. Conventional yield measures for bonds. 7. Potential sources of dollar return... -- pt. III. Bond price volatility. 9. Price volatility of Option-Free bonds. 10. Price volatility measures: PVBP and YV of a price change... -- pt. IV. The yield curve and its applications to pricing and duration... -- pt. V. Analyzing bonds with embedded call options... -- pt. VI. Analyzing mortgage-backed securities... -- pt. VII. Statistical and optimization techniques...
- Edition
-
- Rev. ed.
- Copyright
-
- All Rights Reserved. National Library Board Singapore 2009.