Fixed income mathematics
Subtitle: analytical & statistical techniques
By: by Frank J. Fabozzi.
Edition: 4/e.
Publisher: McGraw-Hill
Published: 2005
Place of publication: New York
Language: eng
Subjects: Fixed-income securities -- Mathematics; Rate of return
Table of contents: title: Overview of fixed income securities and derivatives (new); title: Future value; title: Present value; title: Yield (internal rate of return); title: The price of a bond; title: Conventional yield and spread measures for bonds; title: The yield curve, spot rate curve, and forward rates; title: Potential sources of dollar return; title: Total return; title: Measuring historical performance; title: Price volatility of option-free bonds; title: Duration as a measure of price volatility; title: Combining duration and convexity to measure price volatility; title: Duration and the yield curve; title: Interest rate modeling (new); title: Investment and price characteristics of options; title: Valuation and price volatility of bonds with embedded options; title: Credit risk concepts and measures for corporate bonds (new); title: Measures used for securitized products; title: Cash flow characteristics of amortizing loans; title: Cash flow characteristics of mortgage-backed securities; title: Prepayment modeling (new); title: Basics of MBS structuring (new); title: Analysis of agency mortgage-backed securities; title: Basics of probability theory and statistics; title: Regresssion analysis; title: Statistical techniques for credit scoring and risk factor identification (new); title: Tracking error and multi-factor risk models (new); title: Monte Carlo simulation; title: Optimization.