Autore	Choudhry Moorad
Edizione	[2nd ed.]
Pubbl/distr/stampa	Burlington, : Elsevier Science, 2015
Descrizione fisica	1 online resource (268 p.)
Disciplina	332.63234
Altri autori (Persone)	LizzioMichele
Soggetto topico	Bond market Bonds -- Prices -- Econometric models Bonds -- Valuation -- Econometric models Interest rates -- Mathematical models
ISBN	0-08-099941-7
Formato	Materiale a stampa
Livello bibliografico	Monografia
Lingua di pubblicazione	eng
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
Record Nr.	UNINA-9910583473903321