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

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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.

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Editorial Reviews

Booknews
Explains the latest concepts in the fixed income market, from the basic tenets of financial mathematics to new methodologies for evaluation of instruments such as securities with embedded options and mortgage-backed securities. Topics include measuring historical return performance, duration and yield curve risk, the time value of money, probability theory, and regression analysis. Contains worked examples. For fixed income participants. Annotation c. Book News, Inc., Portland, OR (booknews.com)
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Product Details

  • ISBN-13: 9780071460736
  • Publisher: McGraw-Hill Professional Publishing
  • Publication date: 12/16/2005
  • Edition description: REV
  • Edition number: 4
  • Pages: 600
  • Sales rank: 821,021
  • Product dimensions: 6.40 (w) x 9.20 (h) x 1.80 (d)

Meet the Author

Frank J. Fabozzi, Ph.D., CFA, is the Frederick Frank Adjunct Professor of Finance at Yale University's School of Management and editor of the Journal of Portfolio Management. One of the world's foremost authorities on fixed income securities and derivative instruments, Fabozzi is the bestselling author or editor of more than fifty books, including The Handbook of Fixed Income Securities.

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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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