Fixed Income Mathematics, 4E: Analytical & Statistical Techniques / Edition 4

Fixed Income Mathematics, 4E: Analytical & Statistical Techniques / Edition 4

by Frank J. Fabozzi
     
 

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ISBN-10: 007146073X

ISBN-13: 9780071460736

Pub. Date: 12/16/2005

Publisher: McGraw-Hill Professional Publishing

The standard reference for fixed income portfolio managers

Despite their conservative nature, fixed income instruments are among the investment industry's most complex and potentially risky investments. Fixed Income Mathematics is recognized worldwide as the essential professional reference for understanding the concepts and evaluative methodologies

Overview

The standard reference for fixed income portfolio managers

Despite their conservative nature, fixed income instruments are among the investment industry's most complex and potentially risky investments. Fixed Income Mathematics is recognized worldwide as the essential professional reference for understanding the concepts and evaluative methodologies for bonds, mortgage-backed securities, asset-backed securities, and other fixed income instruments.

This fully revised and updated fourth edition features all-new illustrations of the future and present value of money, with appendices on continuous compounding and new sections and chapters addressing risk measures, cash flow characteristics of credit-sensitive mortgage-backed and asset-backed securities, and more.

Product Details

ISBN-13:
9780071460736
Publisher:
McGraw-Hill Professional Publishing
Publication date:
12/16/2005
Edition description:
REV
Pages:
600
Sales rank:
675,787
Product dimensions:
6.40(w) x 9.20(h) x 1.80(d)

Table of Contents

Introduction 1

PART 1 TIME VALUE OF MONEY
Future Value 7
Present Value 19
Yield (Internal Rate of Return) 34

PART II BOND PRICING AND YIELD MEASURES FOR OPTION-FREE BONDS
The Price of a Bond 47
Conventional Yield Measures for Bonds 73
The Yield Curve, Spot Rate Curve, and Forward Rates 93

PART III RETURN ANALYSIS
Potential Sources of Dollar Return 115
Total Return 129
Measuring Historical Performance 153

PART IV PRICE VOLATILITY FOR OPTION-FREE BONDS
Price Volatility of Option-Free Bonds 165
Price Volatility Measures: PVBP and YV of a Price Change 178
Price Volatility Measures: Duration 187
Price Volatility Measures: Convexity 219
Duration and the Yield Curve 243

PART V ANALYZING BONDS WITH EMBEDDED OPTIONS
Call Options: Investment and Price 257
Characteristics Valuation and Price Volatility of Bonds with Embedded Options 274

PART VI ANALYZING MORTGAGE-BACKED SECURITIES
Cash flow Characteristics of Mortgages 303
Cash Flow Characteristics of Mortgage-Backed Securities 322
Analysis of Mortgage-Backed Securities 356

PART VII STATISTICAL AND OPTIMIZATION TECHNIQUES
Probability Theory 377
Simulation 403
Regression Analysis 419
Optimization Models 435
Index 443

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