05487nam 2200697 450 991014064520332120230807210501.01-119-01417-41-119-01415-8(CKB)2670000000616811(EBL)1895916(SSID)ssj0001481272(PQKBManifestationID)11904128(PQKBTitleCode)TC0001481272(PQKBWorkID)11498800(PQKB)10818071(MiAaPQ)EBC1895916(Au-PeEL)EBL1895916(CaPaEBR)ebr11052395(CaONFJC)MIL785555(OCoLC)905600456(EXLCZ)99267000000061681120150513h20152015 uy 0engur|n|---|||||txtccrThe advanced fixed income and derivatives management guide /Saied SimozarChichester, England :Wiley,2015.©20151 online resource (365 p.)Wiley Finance SeriesDescription based upon print version of record.1-119-01416-6 1-119-01414-X Includes bibliographical references and index.Cover; Title Page; Copyright; Contents; List of Tables; List of Figures; Abbreviations; Notation; Preface; Acknowledgement; Foreword; About the Author; Introduction; Chapter 1 Review of Market Analytics ; 1.1 Bond Valuation; 1.2 Simple Bond Analytics; 1.3 Portfolio Analytics; 1.4 Key Rate Durations; Chapter 2 Term Structure of Rates; 2.1 Linear and Non-linear Space; 2.2 Basis Functions; 2.3 Decay Coefficient; 2.4 Forward Rates; 2.5 Par Curve; 2.6 Application to the US Yield Curve; 2.7 Historical Yield Curve Components; 2.8 Significance of the Term Structure Components2.9 Estimating the Value of Decay CoefficientChapter 3 Comparison of Basis Functions; 3.1 Polynomial Basis Functions; 3.2 Exponential Basis Functions; 3.3 Orthogonal Basis Functions; 3.4 Key Basis Functions; 3.5 Transformation of Basis Functions; 3.6 Comparison with the Principal Components Analysis; 3.7 Mean Reversion; 3.8 Historical Tables of Basis Functions; Chapter 4 Risk Measurement; 4.1 Interest Rate Risks; 4.2 Zero Coupon Bonds Examples; 4.3 Eurodollar Futures Contracts Examples; 4.4 Conventional Duration of a Portfolio; 4.5 Risks and Basis Functions4.6 Application to Key Rate Duration4.7 Risk Measurement of a Treasury Index; Chapter 5 Performance Attribution; 5.1 Curve Performance; 5.2 Yield Performance; 5.3 Security Performance; 5.4 Portfolio Performance; 5.5 Aggregation of Contribution to Performance; Chapter 6 Libor and Swaps; 6.1 Term Structure of Libor; 6.2 Adjustment Table for Rates; 6.3 Risk Measurement and Performance Attribution of Swaps; 6.4 Floating Libor Valuation and Risks; 6.5 Repo and Financing Rate; 6.6 Structural Problem of Swaps; Chapter 7 Trading; 7.1 Liquidity Management; 7.2 Forward Pricing; 7.3 Curve Trading7.4 Synthetic Securities7.5 Real Time Trading; Chapter 8 Linear Optimization and Portfolio Replication; 8.1 Portfolio Optimization Example; 8.2 Conversion to and from Conventional KRD; 8.3 KRD and Term Structure Hedging; Chapter 9 Yield Volatility; 9.1 Price Function of Yield Volatility; 9.2 Term Structure of Yield Volatility; 9.3 Volatility Adjustment Table; 9.4 Forward and Instantaneous Volatility; Chapter 10 Convexity and Long Rates; 10.1 Theorem: Long Rates Can Never Change; 10.2 Convexity Adjusted TSIR; 10.3 Application to Convexity; 10.4 Convexity Bias of Eurodollar FuturesChapter 11 Real Rates and Inflation Expectations11.1 Term Structure of Real Rates; 11.2 Theorem: Real Rates Can't Have Log-normal Distribution; 11.3 Inflation Linked (IL) Bonds; 11.4 Seasonal Adjustments to Inflation; 11.5 Inflation Swaps; Chapter 12 Credit Spreads; 12.1 Equilibrium Credit Spread; 12.2 Term Structure of Credit Spreads; 12.3 Risk Measurement of Credit Securities; 12.4 Credit Risks Example; 12.5 Floating Rate Credit Securities; 12.6 TSCS Examples; 12.7 Relative Values of Credit Securities; 12.8 Performance Attribution of Credit Securities; 12.9 Term Structure of Agencies12.10 Performance ContributionList of Tables v List of Figures viii Abbreviations x Notation xii Preface xvii Acknowledgement xxi Foreword xxii Introduction 1 1. Review of Market Analytics 5 1.1. Bond Valuation 5 1.2. Simple Bond Analytics 7 1.3. Portfolio Analytics 9 1.4. Key Rate Durations 13 2. Term Structure of Rates 16 2.1. Linear and Non-linear Space 16 2.2. Basis Functions 18 2.3. Decay Coefficient 22 2.4. Forward Rates 22 2.5. Par Curve 24 2.6. Application to the US Yield Curve 24 2.7. Historical Yield Curve Components 27 2.8. Significance of the Term Structure ComponentsWiley finance series.Fixed-income securitiesDerivative securitiesPortfoliio managementFixed-income securities.Derivative securities.Portfoliio management.332.63/2044BUS027000bisacshSimozar Saied1954-958885MiAaPQMiAaPQMiAaPQBOOK9910140645203321The advanced fixed income and derivatives management guide2172554UNINA04760nam 22007935 450 991014579910332120200701044444.03-540-39995-X10.1007/b94069(CKB)1000000000016816(SSID)ssj0000324635(PQKBManifestationID)11268437(PQKBTitleCode)TC0000324635(PQKBWorkID)10314784(PQKB)11277545(DE-He213)978-3-540-39995-7(MiAaPQ)EBC3088270(PPN)155225855(EXLCZ)99100000000001681620121227d2003 u| 0engurnn|008mamaatxtccrMatchmaking in Electronic Markets An Agent-Based Approach towards Matchmaking in Electronic Negotiations /by Daniel J. Veit1st ed. 2003.Berlin, Heidelberg :Springer Berlin Heidelberg :Imprint: Springer,2003.1 online resource (XV, 180 p.) Lecture Notes in Artificial Intelligence ;2882Bibliographic Level Mode of Issuance: Monograph3-540-20500-4 Includes bibliographical references at the end of each chapters and index.Fundamentals & Related Work -- 1 Introduction -- 2 Terminology and Overview -- 3 Related Work -- The Multidimensional Matchmaking Approach -- 4 Matchmaking Architecture -- 5 Matchmaking Implementation -- Application, Evaluation & Outlook -- 6 Application in a Real-World Market -- 7 Empirical Evaluation -- 8 Conclusions and Outlook.Electronic negotiations concern transactions on the basis of electronic media, such as the Internet. Platforms have been developed to aid participants in electronic markets during the agreement phase. The key activity in this is the matching of offers and requests, for which we need a ranking of the alternatives. In this book the author defines a framework in which a ranking can be generated in order to acquire an optimal decision for a desired transaction - this process is called matchmaking. The author introduces a generic framework for multidimensional, multiattribute matchmaking, its implementation, and an analysis of it. The genericity of the author’s approach means that the implementation, realized as a multiagent system, can represent both offering and requesting agents, and the framework can be applied to a huge variety of applications. The use cases in the book are derived from the human resources domain, and thus involve quite complex matchmaking. The author’s presentation is thorough and self-contained. He provides definitions of the relevant business and computer science terms, and detailed explanations of the underlying mathematical tools and software implementations.Lecture Notes in Artificial Intelligence ;2882Software engineeringArtificial intelligenceInformation storage and retrievalApplication softwareComputers and civilizationElectronic commerceSoftware Engineering/Programming and Operating Systemshttps://scigraph.springernature.com/ontologies/product-market-codes/I14002Artificial Intelligencehttps://scigraph.springernature.com/ontologies/product-market-codes/I21000Information Storage and Retrievalhttps://scigraph.springernature.com/ontologies/product-market-codes/I18032Information Systems Applications (incl. Internet)https://scigraph.springernature.com/ontologies/product-market-codes/I18040Computers and Societyhttps://scigraph.springernature.com/ontologies/product-market-codes/I24040e-Commerce/e-businesshttps://scigraph.springernature.com/ontologies/product-market-codes/I26000Software engineering.Artificial intelligence.Information storage and retrieval.Application software.Computers and civilization.Electronic commerce.Software Engineering/Programming and Operating Systems.Artificial Intelligence.Information Storage and Retrieval.Information Systems Applications (incl. Internet).Computers and Society.e-Commerce/e-business.005.1Veit Daniel Jauthttp://id.loc.gov/vocabulary/relators/aut854093MiAaPQMiAaPQMiAaPQBOOK9910145799103321Matchmaking in Electronic Markets2120436UNINA