Frontiers in Fixed-Income Management

Frontiers in Fixed-Income Management


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Based on presentations made at the Third Annual GAT Fixed Income Conference,the premiere forum for the discussion of advanced topics in the fixed-income arena,Frontiers in Fixed-Income Management reflects the latest thinking and research in the field. Specific topics include: Strategic Portfolio Management: Discusses the inadequacy of duration and convexity as risk measures,the use of primitive securities to control duration drift,and utilizing genetic algorithms to develop dynamic investment strategies; CMOs,Whole Loans,and Structured Notes: highlights include a stochastic evaluation of whole loan credit risk,constructing an in-house adjustable rate mortgage model,and using pathwise strategies to make strategic asset liability management decisions; Credit Risk: This section provides a unique anaysis of the term structure of credit spreads.

Product Details

ISBN-13: 9781557388759
Publisher: McGraw-Hill Companies, The
Publication date: 05/01/1995
Pages: 300
Product dimensions: 6.31(w) x 9.31(h) x 0.71(d)

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