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PRINTED BOOKS
Author Fabozzi, Frank J.

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

Published New York : McGraw-Hill, [2005]

Copies

Location Call No. Status
 UniM Giblin Eunson  332.6320151 FABO    AVAILABLE
Edition 4th ed.
Physical description xix, 649 p. ; 24 cm.
Contents 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.
Subject Fixed-income securities -- Mathematics.
Rate of return.
Variant Title Fixed income mathematics : analytical & statistical techniques
ISBN 007146073X (hardcover : alk. paper)