Fixed income mathematics : analytical and statistical techniques/ 4th ed

상세정보

자료유형	단행본
서명/저자사항	Fixed income mathematics : analytical and statistical techniques/ by Frank J. Fabozzi.
개인저자	Fabozzi, Frank J.
판사항	4th ed.
발행사항	New York: McGraw-Hill, 2006.
형태사항	xix, 649 p.: ill.; 24 cm.
ISBN	007146073X (hardcover : alk. paper):
내용주기	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.
일반주제명	Fixed-income securities -- Mathematics. Rate of return.
분류기호(DDC)	332.632
언어	영어