Advanced Fixed Income Analysis

• Autore: Choudhry Moorad
• Pubblicazione: Burlington, : Elsevier Science, 2015
• Edizione: 2nd ed.
• Descrizione fisica: 1 online resource (268 p.)
• Disciplina: 332.63234
• Soggetto topico: Bond market; Bonds -- Prices -- Econometric models; Bonds -- Valuation -- Econometric models; Interest rates -- Mathematical models
• Altri autori: LizzioMichele
• Note generali: Description based upon print version of record.
• Nota di bibliografia: Includes bibliographical references and index.
• Nota di contenuto: Front Cover; Advanced Fixed Income Analysis; Copyright; Chapter 1: Asset-Swap Spreads and Relative Value Analysis; Bibliography; Chapter 2: The Dynamics of Asset Prices; 2.2.2. Stochastic Calculus; 2.3.3. Uncertainty of Interest Rates; Selected Bibliography and References; Chapter 3: Interest-Rate Models I; Selected Bibliography and References; Chapter 4: Interest-Rate Models II; 4.2.1. The Single-Factor HJM Model; 4.3. Multi-Factor Term Structure Models; Selected Bibliography and References; References on Estimation Methods; Chapter 5: Fitting the Term Structure ; Selected Bibliography and ReferencesChapter 6: Advanced Analytics for Index-Linked Bonds; 6.4.3.4. Indexation Lag; Bibliography; Chapter 7: Analysing the Long-Bond Yield; References; Chapter 8: The Default Risk of Corporate Bonds; 8.1. Corporate Bond Default Spread Risk; 8.1.1. Spread Risk; 8.1.1.1. Benchmark Spread; References; Chapter 9: Convertible Securities: Analysis and Valuation; 9.3.3. Special Market Model Features; 9.3.3.1. Justifying the Conversion Premium at Issue; Selected Bibliography and References; Chapter 10: Floating-Rate Notes; 10.4. Other Features of Floating-Rate Notes ; 10.4.1. DurationBibliography; Chapter 11: Bonds with Embedded Options; 11.1.2. Effective Duration and Convexity; 11.2.3. Valuing Callable Bonds; Bibliography
• Sommario/riassunto: 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
• Titolo autorizzato: Advanced Fixed Income Analysis
• ISBN: 0-08-099941-7
• Formato: Materiale a stampa
• Livello bibliografico: Monografia
• Lingua di pubblicazione: Inglese
• Record Nr.: 9910583473903321
• Lo trovi qui: Univ. Federico II