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TitleIntroduction to fixed income analytics : relative value analysis, risk measures, and valuation
Author Frank J. Fobozzi and Steven V. Mann
Imprint Hoboken, N.J. : Wiley, 2010
Edition 2nd ed
Descript xv, 479 p. : ill. ; 24 cm

CONTENT

Time value of money -- Yield curve analysis : spot rates and forward rates -- Day count conventions and accrued interest -- Valuation of option-free bonds -- Yield measures -- Analysis of floating rate securities -- Valuation of bonds with embedded options -- Cash flow for mortagage-backed securities and amortizing asset-backed securities -- Valuation of mortgage-backed and asset-backed securities -- Analysis of convertible bonds -- Total return -- Measuring interest rate risk -- Valua-at-risk measure and extensions -- Analysis of inflation-protected bonds -- The tools of relative value analysis -- Analysis of interest rate swaps -- Estimating yield volatility


Fixed-income securities Fixed-income securities -- Mathematics Rate of return Risk management

LOCATIONCALL#STATUS
Sasin Library332.632 F121I 2010CHECK SHELVES
Sasin Library332.632 F121I 2010CHECK SHELVES

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