Fixed Income Mathematics: Analytical and Statistical Techniques 5th Edition – Ebook PDF Instant Delivery – ISBN(s): 9781264258277,1264258275
Product details:
- ISBN-10 : 1264258275
- ISBN-13 : 978-1264258277
- Author: Frank J. Fabozzi, Francesco Fabozzi
Fixed Income Mathematics is known around the world as the leading guide to understanding the concepts and evaluative methodologies for bonds, mortgage-backed securities, asset-backed securities, and other fixed income instruments―and the fifth edition gets you up to date on the newest analytical frameworks.
Table contents:
Chapter 1 Introduction
Part 1 Time Value of Money
Chapter 2 Future Value
Chapter 3 Present Value
Chapter 4 Yield (Internal Rate of Return)
Part 2 Bond Pricing for Option-Free Bonds and Conventional Yield Measures
Chapter 5 The Price of a Bond
Chapter 6 Bond Yield Measures
Chapter 7 The Yield Curve, Spot-Rate Curve, and Forward Rates
Part 3 Return Analysis and Return Measures
Chapter 8 Potential Sources of Dollar Return
Chapter 9 Total Return
Chapter 10 Historical Return Measures
Chapter 11 Risk-Adjusted Returns/Reward-Risk Ratios
Part 4 Price Volatility for Option-Free Bonds
Chapter 12 Price Volatility Properties of Option-Free Bonds
Chapter 13 Duration as a Measure of Price Volatility
Chapter 14 Combining Duration and Convexity to Measure Price Volatility
Chapter 15 Duration and the Yield Curve
Chapter 16 Empirical Duration
Part 5 Historical Return and Yield Volatility
Chapter 17 Measuring Historical Return Volatility
Chapter 18 Measuring and Forecasting Yield Volatility
Part 6 Analyzing Bonds with Embedded Options
Chapter 19 Interest-Rate Modeling
Chapter 20 Call Options: Investment and Price Characteristics
Chapter 21 Valuation and Price Volatility of Bonds with Embedded Options
Chapter 22 Analysis of Floating-Rate Securities
Part 7 Credit and Liquidity Concepts
Chapter 23 Credit Risk Concepts and Measures
Chapter 24 Measuring Bond Liquidity
Part 8 Analyzing Securitized Products
Chapter 25 Cash-Flow Characteristics of Fixed-Rate Amortizing Mortgage Loans
Chapter 26 Cash-Flow Characteristics of Mortgage-Backed Securities
Chapter 27 Analysis of Agency Mortgage-Backed Securities
Part 9 Performance Analysis
Chapter 28 Holdings-Based Performance Attribution Analysis
Chapter 29 Returns-Based Style Attribution Analysis
Part 10 Statistical and Optimization Techniques
Chapter 30 Probability Distributions and Statistics
Chapter 31 Regression and Principal Component Analysis
Chapter 32 Multifactor Risk Models and Their Application to Portfolio Construction
Chapter 33 Monte Carlo Simulation
Chapter 34 Optimization Models
Chapter 35 Machine Learning
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