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

Author:: Fabozzi, Frank J.
Published:: New York : McGraw-Hill, [2006]
Copyright Date:: ©2006
Edition:: 4th ed.
Physical Description:: xix, 649 pages : illustrations ; 24 cm

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Contents:

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.

Subject(s):

ISBN:

007146073X (hardcover : alk. paper)

Bibliography Note:

Includes bibliographical references and index.

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