Fixed Income Mathematics

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Fixed Income Mathematics

Frank J. Fabozzi
Fixed Income Mathematics Book PDF

Author : Frank J. Fabozzi
Publisher : Irwin Professional Publishing
Page : 428 pages
File Size : 41,7 Mb
Release : 1988
Category : Business mathematics
ISBN : UCSC:32106011859854

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Fixed Income Mathematics by Frank J. Fabozzi Pdf

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.

Fixed Income Mathematics

Frank J. Fabozzi
Fixed Income Mathematics Book PDF

Author : Frank J. Fabozzi
Publisher : Irwin Professional Publishing
Page : 484 pages
File Size : 44,5 Mb
Release : 1993
Category : Business & Economics
ISBN : UCR:31210019392149

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Fixed Income Mathematics by Frank J. Fabozzi Pdf

Kehinde is a Nigerian woman, unsure of herself, not quite certain she has the right to be happy. With her husband, Albert, she has made a home in London, and has a promising career when Albert decides they should return to Nigeria. Kehinde is loath to do so, and joins him later, reluctantly, only to discover that he has taken a second, younger wife. Her years in England have left Kehinde unwilling and unprepared to reembrace Nigerian social mores; and unable to accept the situation, she returns to London.

Fixed Income Mathematics

Robert Zipf
Fixed Income Mathematics Book PDF

Author : Robert Zipf
Publisher : Elsevier
Page : 343 pages
File Size : 45,7 Mb
Release : 2003-06-08
Category : Mathematics
ISBN : 9780080506555

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Fixed Income Mathematics by Robert Zipf Pdf

Fixed Income Mathematics is an easy-to-understand introduction to the mathematics of common fixed income instruments. This book offers explanations, exercises, and examples without demanding sophisticated mathematics from the reader. Not only does the author use his business and teaching experience to highlight the fundamentals of investment and management decision-making, but he also offers questions and exercises that suggest the applicability of fixed income mathematics. Written for the reader with a general mathematics background, this self-teaching book is suffused with examples that also make it a handy reference guide. It should serve as a gateway to financial mathematics and to increased competence in business analysis. International comparisons are used to illustrate how interest is compounded. This text will be a valuable resource for professional insurance and other actuarials who invest in bonds and who are concerned with inflation, asset-liability management, the time value of money, interest rates, rates of return, risk, and investment income. It will also appeal to MBA students and anyone seeking a general introduction or overview of the subject. * An easy-to-understand introduction to the mathematics of common fixed income instruments * Offers students explanations, exercises, and examples without demanding sophisticated mathematics * Uses international comparisons to illustrate how interest is compounded

Fixed Income Mathematics, 4E

Frank J. Fabozzi
Fixed Income Mathematics 4E Book PDF

Author : Frank J. Fabozzi
Publisher : McGraw-Hill Education
Page : 0 pages
File Size : 52,5 Mb
Release : 2006-01-06
Category : Business & Economics
ISBN : 007146073X

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Fixed Income Mathematics, 4E by Frank J. Fabozzi Pdf

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.

Fixed Income Mathematics

Robert Zipf
Fixed Income Mathematics Book PDF

Author : Robert Zipf
Publisher : Academic Press
Page : 344 pages
File Size : 54,9 Mb
Release : 2003-05-16
Category : Business & Economics
ISBN : 9780127817217

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Fixed Income Mathematics by Robert Zipf Pdf

An introduction to common fixed income instruments and mathematics, this book offers explanations, exercises, and examples without demanding sophisticated mathematics. Not only does the author use his business and teaching experience to highlight the fundamentals of investment and management decision-making, but he also offers questions and exercises that suggest the applicability of fixed income mathematics. Written for the reader with a general mathematics background, this self-teaching book is suffused with examples that also make it a handy reference guide. It should serve as a gateway to financial mathematics and to increased competence in business analysis. * An easy-to-understand introduction to the mathematics of common fixed income instruments * Offers students explanations, exercises, and examples without demanding sophisticated mathematics * Uses international comparisons to illustrate how interest is compounded.

Fixed Income Finance: A Quantitative Approach

Mark Wise,Vineer Bhansali
Fixed Income Finance A Quantitative Approach Book PDF

Author : Mark Wise,Vineer Bhansali
Publisher : McGraw Hill Professional
Page : 258 pages
File Size : 49,9 Mb
Release : 2010-01-13
Category : Business & Economics
ISBN : 9780071763417

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Fixed Income Finance: A Quantitative Approach by Mark Wise,Vineer Bhansali Pdf

A complete guide for professionals with advanced mathematical skills but little or no financial knowledge . . . You’re smart. Logical. Mathematically adept. One of those people who can make quick work of long, difficult equations. But when it comes to managing a financial portfolio and managing risk, you wonder if you’re missing out. Fixed Income Finance is the book for you. It’s the perfect introduction to the concepts, formulas, applications, and methodology, all derived from first principles, that you need to succeed in the world of quantitative finance—with a special emphasis on fixed incomes. Written by two of the sharpest analytical minds in their fields, this instructive guide takes you through the basics of fixed income finance, including many new and original results, to help you understand: Treasury Bonds and the Yield Curve The Macroeconomics behind Term Structure Models Structural Models for Corporate Bonds and Portfolio Diversification Options Fixed Income Derivatives Numerical Techniques Filled with step-by-step equations, clear and concise concepts, and ready-to-use formulas, this essential workbook bridges the gap between basic beginners’ primers and more advanced surveys to provide hands-on tools you can begin to use immediately. It’s all you need to put your math skills to work—and make the money work for you. Brilliantly researched, impeccably detailed, and thoroughly comprehensive, Fixed Income Finance is applied mathematics at its best and most useful.

Fixed Income Mathematics, Fifth Edition: Analytical and Statistical Techniques

Frank J. Fabozzi,Francesco Fabozzi
Fixed Income Mathematics Fifth Edition Analytical and Statistical Techniques Book PDF

Author : Frank J. Fabozzi,Francesco Fabozzi
Publisher : McGraw Hill Professional
Page : 636 pages
File Size : 49,8 Mb
Release : 2022-09-06
Category : Business & Economics
ISBN : 9781264258284

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Fixed Income Mathematics, Fifth Edition: Analytical and Statistical Techniques by Frank J. Fabozzi,Francesco Fabozzi Pdf

The standard reference for fixed income portfolio managers—fully updated with new analytical frameworks Fixed Income Mathematics is known around the world as the leading guide to understanding the concepts, valuation models for bonds with embedded option, mortgage-backed securities, asset-backed securities, and other fixed income instruments, and portfolio analytics. Fixed Income Mathematics begins with basic concepts of the mathematics of finance, then systematically builds on them to reveal state-of-the-art methodologies for evaluating them and managing fixed-income portfolios. Concepts are illustrated with numerical examples and graphs, and you need only a basic knowledge of elementary algebra to understand them. This new edition includes several entirely new chapters―Risk-Adjusted Returns, Empirical Duration, Analysis of Floating-Rate Securities, Holdings-Based Return Attribution Analysis, Returns-Based Style Attribution Analysis, Measuring Bond Liquidity, and Machine Learning―and provides substantially revised chapters on: Interest rate modeling Probability theory Optimization models and applications to bond portfolio management Historical return measures Measuring historical return volatility The concepts and methodologies for managing fixed income portfolios has improved dramatically over the past 15 years. This edition explains these changes and provides the knowledge you need to value fixed-income securities and measure the various types of risks associated with individual securities and portfolios.

Advanced Fixed Income Analysis

Moorad Choudhry,Michele Lizzio
Advanced Fixed Income Analysis Book PDF

Author : Moorad Choudhry,Michele Lizzio
Publisher : Elsevier
Page : 272 pages
File Size : 52,6 Mb
Release : 2015-08-28
Category : Business & Economics
ISBN : 9780080999418

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Advanced Fixed Income Analysis by Moorad Choudhry,Michele Lizzio Pdf

Each new chapter of the Second Edition covers an aspect of the fixed income market that has become relevant to investors but is not covered at an advanced level in existing textbooks. This is material that is pertinent to the investment decisions but is not freely available to those not originating the products. Professor Choudhry’s method is to place ideas into contexts in order to keep them from becoming too theoretical. While the level of mathematical sophistication is both high and specialized, he includes a brief introduction to the key mathematical concepts. This is a book on the financial markets, not mathematics, and he provides few derivations and fewer proofs. He draws on both his personal experience as well as his own research to bring together subjects of practical importance to bond market investors and analysts. Presents practitioner-level theories and applications, never available in textbooks Focuses on financial markets, not mathematics Covers relative value investing, returns analysis, and risk estimation

Bond Math

Donald J. Smith
Bond Math Book PDF

Author : Donald J. Smith
Publisher : John Wiley & Sons
Page : 288 pages
File Size : 43,7 Mb
Release : 2011-07-05
Category : Business & Economics
ISBN : 9781118103166

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Bond Math by Donald J. Smith Pdf

A guide to the theory behind bond math formulas Bond Math explores the ideas and assumptions behind commonly used statistics on risk and return for individual bonds and on fixed income portfolios. But this book is much more than a series of formulas and calculations; the emphasis is on how to think about and use bond math. Author Donald J. Smith, a professor at Boston University and an experienced executive trainer, covers in detail money market rates, periodicity conversions, bond yields to maturity and horizon yields, the implied probability of default, after-tax rates of return, implied forward and spot rates, and duration and convexity. These calculations are used on traditional fixed-rate and zero-coupon bonds, as well as floating-rate notes, inflation-indexed securities, and interest rate swaps. Puts bond math in perspective through discussions of bond portfolios and investment strategies. Critiques the Bloomberg Yield Analysis (YA) page, indicating which numbers provide reliable information for making decisions about bonds, which are meaningless data, and which can be very misleading to investors Filled with thought-provoking insights and practical advice, this book puts the intricacies of bond math into a clear and logical order.

Fixed Income Securities

Bruce Tuckman,Angel Serrat
Fixed Income Securities Book PDF

Author : Bruce Tuckman,Angel Serrat
Publisher : John Wiley & Sons
Page : 640 pages
File Size : 42,7 Mb
Release : 2011-10-13
Category : Business & Economics
ISBN : 9781118133965

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Fixed Income Securities by Bruce Tuckman,Angel Serrat Pdf

Fixed income practitioners need to understand the conceptual frameworks of their field; to master its quantitative tool-kit; and to be well-versed in its cash-flow and pricing conventions. Fixed Income Securities, Third Edition by Bruce Tuckman and Angel Serrat is designed to balance these three objectives. The book presents theory without unnecessary abstraction; quantitative techniques with a minimum of mathematics; and conventions at a useful level of detail. The book begins with an overview of global fixed income markets and continues with the fundamentals, namely, arbitrage pricing, interest rates, risk metrics, and term structure models to price contingent claims. Subsequent chapters cover individual markets and securities: repo, rate and bond forwards and futures, interest rate and basis swaps, credit markets, fixed income options, and mortgage-backed-securities. Fixed Income Securities, Third Edition is full of examples, applications, and case studies. Practically every quantitative concept is illustrated through real market data. This practice-oriented approach makes the book particularly useful for the working professional. This third edition is a considerable revision and expansion of the second. Most examples have been updated. The chapters on fixed income options and mortgage-backed securities have been considerably expanded to include a broader range of securities and valuation methodologies. Also, three new chapters have been added: the global overview of fixed income markets; a chapter on corporate bonds and credit default swaps; and a chapter on discounting with bases, which is the foundation for the relatively recent practice of discounting swap cash flows with curves based on money market rates.

Fixed Income and Interest Rate Derivative Analysis

Mark Britten-Jones
Fixed Income and Interest Rate Derivative Analysis Book PDF

Author : Mark Britten-Jones
Publisher : Elsevier
Page : 220 pages
File Size : 55,6 Mb
Release : 1998-10-15
Category : Business & Economics
ISBN : 9780080506548

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Fixed Income and Interest Rate Derivative Analysis by Mark Britten-Jones Pdf

Fixed Income and Interest Rate Derivative Analysis gives a clear and accessible approach to the analytical techniques of debt instrument valuation. Without using complicated mathematical abstractions, this text shows that the fundamentals of fixed income and interest rate derivate analysis can be easily understood when seen as a small number of simple economic concepts. Concepts inroduced in this book are reinforced and explained, not with the use of high-powered mathematics, but with actual examples of various market instruments and case studies from North America, Europe, Australia and Hong Kong. The text also contains review questions which aid the reader in their understanding. Mark Britten-Jones, BEcon, MA, PhD, is an Assistant Professor of Finance at the London Business School where he teaches Fixed Income Securities and Markets as part of a MBA and Master's course in Finance. A comprehensive and accessible explanation of underlying theory, and its practical application Case studies and worked examples from around the world's capital markets How to use spreadsheet modelling in fixed income and interest rate derivative valuation

Mathematics of the Bond Market: A Lévy Processes Approach

Michał Barski,Jerzy Zabczyk
Mathematics of the Bond Market A L vy Processes Approach Book PDF

Author : Michał Barski,Jerzy Zabczyk
Publisher : Cambridge University Press
Page : 401 pages
File Size : 53,7 Mb
Release : 2020-04-23
Category : Business & Economics
ISBN : 9781107101296

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Mathematics of the Bond Market: A Lévy Processes Approach by Michał Barski,Jerzy Zabczyk Pdf

Analyses bond market models with Lévy stochastic factors, suitable for graduates and researchers in probability and mathematical finance.

Interest Rate Markets

Siddhartha Jha
Interest Rate Markets Book PDF

Author : Siddhartha Jha
Publisher : John Wiley & Sons
Page : 373 pages
File Size : 52,9 Mb
Release : 2011-02-11
Category : Business & Economics
ISBN : 9781118017791

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Interest Rate Markets by Siddhartha Jha Pdf

How to build a framework for forecasting interest rate market movements With trillions of dollars worth of trades conducted every year in everything from U.S. Treasury bonds to mortgage-backed securities, the U.S. interest rate market is one of the largest fixed income markets in the world. Interest Rate Markets: A Practical Approach to Fixed Income details the typical quantitative tools used to analyze rates markets; the range of fixed income products on the cash side; interest rate movements; and, the derivatives side of the business. Emphasizes the importance of hedging and quantitatively managing risks inherent in interest rate trades Details the common trades which can be used by investors to take views on interest rates in an efficient manner, the methods used to accurately set up these trades, as well as common pitfalls and risks?providing examples from previous market stress events such as 2008 Includes exclusive access to the Interest Rate Markets Web site which includes commonly used calculations and trade construction methods Interest Rate Markets helps readers to understand the structural nature of the rates markets and to develop a framework for thinking about these markets intuitively, rather than focusing on mathematical models

Introduction to Fixed Income Analytics

Frank J. Fabozzi,Steven V. Mann
Introduction to Fixed Income Analytics Book PDF

Author : Frank J. Fabozzi,Steven V. Mann
Publisher : John Wiley & Sons
Page : 501 pages
File Size : 54,6 Mb
Release : 2010-09-17
Category : Business & Economics
ISBN : 9780470922101

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Introduction to Fixed Income Analytics by Frank J. Fabozzi,Steven V. Mann Pdf

A comprehensive introduction to the key concepts of fixed income analytics The First Edition of Introduction to Fixed Income Analytics skillfully covered the fundamentals of this discipline and was the first book to feature Bloomberg screens in examples and illustrations. Since publication over eight years ago, the markets have experienced cathartic change. That's why authors Frank Fabozzi and Steven Mann have returned with a fully updated Second Edition. This reliable resource reflects current economic conditions, and offers additional chapters on relative value analysis, value-at-risk measures and information on instruments like TIPS (treasury inflation protected securities). Offers insights into value-at-risk, relative value measures, convertible bond analysis, and much more Includes updated charts and descriptions using Bloomberg screens Covers important analytical concepts used by portfolio managers Understanding fixed-income analytics is essential in today's dynamic financial environment. The Second Edition of Introduction to Fixed Income Analytics will help you build a solid foundation in this field.

Fixed Income Modelling

Claus Munk
Fixed Income Modelling Book PDF

Author : Claus Munk
Publisher : Oxford University Press
Page : 573 pages
File Size : 40,8 Mb
Release : 2011-06-30
Category : Business & Economics
ISBN : 9780199575084

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Fixed Income Modelling by Claus Munk Pdf

A large number of securities related to various interest rates are traded in financial markets. Traders and analysts in the financial industry apply models based on economics, mathematics and probability theory to compute reasonable prices and risk measures for these securities. This book offers a unified presentation of such models and securities.