Fixed income mathematics : analytical and statistical techniques / Frank J. Fabozzi.
Material type:
TextLanguage: English Publisher: New York : McGraw-Hill, 2006Edition: Fourth editionDescription: xviii, 649 páginas : ilustraciones, gráficas ; 19 cmContent type: texto Media type: sin mediación Carrier type: volumenISBN: 9780071460736Subject(s): Títulos de renta fija -- Modelos matemáticos | Títulos valores | Valores derivados | Valoración de inversiones | Inversiones de capital | Mercado de valoresDDC classification: 332.63232 | Item type | Current library | Collection | Call number | Copy number | Status | Date due | Barcode | Item holds |
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Libros
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Biblioteca CESA
Diagonal 34 A No. 5 A - 23 Casa Incolda PBX: 339 53 00 serviciosbiblioteca@cesa.edu.co |
General | 332.63232 / F121f 2006 (Browse shelf(Opens below)) | Ej.1 | Available | 7101028839 |
Incluye índice.
Chapter 1. Introduction ; Chapter 2. Overview of fixed income securities and derivatives ; Part 1. Time Value of money ; Chapter 3. Future value ; Chapter 4. Present value ; Chapter 5. Yield (Internal rate of return) ; Part 2. Bond pricing for option free bonds and conventional yield measures ; Chapter 6. The price of a bond ; Chapter 7. Conventional yield and spread measures for bonds ; Chapter 8. The yield curve, spot rate curve, and forward rates ; Part 3. Return analysis ; Chapter 9. Potential sources of dollar return ; Chapter 10. Total return ; Chapter 11. Measuring historical performance ; Part 4. Price volatility for option free bonds ; Chapter 12. Price volatility of prosperties 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 ; Part 5. Analyzing bonds with embedded options ; Chapter 16. Interest rate models ; Chapter 17. Call options: investment and price characteristics ; Chapter 18. valuation and price volatility of bonds with embedded options ; Part 6. Credit risk ; Chapter 19. Credit risk concepts and measures for corporate bonds ; Part 7. Analyzing securitized products ; Chapter 20. Measures used for securitized products ; Chapter 21. Cash flow characteristics of amortizing loans ; Chapter 22. Cash flow characteristics of mortgage backed securities ; Chapter 23. Prepayment models for mortgage backed securities ; Chapter 24. Basics of MBS structuring ; Chapter 25. Analysis of agency mortgage backed securities ; Part 8. Statistical and optimization techniques ; Chapter 26. Basics of probability theory and statistics ; Chapter 27. Regression analysis ; Chapter 28. Statistical techniques for credit scoring and risk factor identification ; Chapter 29. Tracking error and multifactor risk models ; Chapter 30. Simulation ; cahpter 31. Optimization models.
A pesar de su naturaleza conservadora, los instrumentos de renta fija se encuentran entre las inversiones más complejas y potencialmente riesgosas de la industria de inversiones. Fixed Income Mathematics es reconocida mundialmente como la referencia profesional esencial para comprender los conceptos y metodologías de evaluación de bonos, valores respaldados por hipotecas, valores respaldados por activos y otros instrumentos de renta fija. Esta cuarta edición completamente revisada y actualizada presenta ilustraciones nuevas del valor futuro y presente del dinero, con apéndices sobre capitalización continua y nuevas secciones y capítulos que abordan medidas de riesgo, características de flujo de efectivo de valores respaldados por hipotecas y valores respaldados por activos sensibles al crédito y más.
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