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The definitive guide to fixed income valuation
Fixed Income Valuation and Risk Analysis comprehensively covers the most definitive work on interest rate risk, term structure analysis, and credit risk in one easy-to-read volume. It examines the latest innovations in this field and provides information on virtually every well-known model used in valuing fixed income securities and derivatives. The companion CD-ROM contains numerous formulas and programming tools that allow readers to better model risk and value fixed income securities. This comprehensive resource provides readers with the…mehr
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The definitive guide to fixed income valuation
Fixed Income Valuation and Risk Analysis comprehensively covers the most definitive work on interest rate risk, term structure analysis, and credit risk in one easy-to-read volume. It examines the latest innovations in this field and provides information on virtually every well-known model used in valuing fixed income securities and derivatives. The companion CD-ROM contains numerous formulas and programming tools that allow readers to better model risk and value fixed income securities. This comprehensive resource provides readers with the hands-on information and software needed to succeed in this financial arena.
Hinweis: Dieser Artikel kann nur an eine deutsche Lieferadresse ausgeliefert werden.
Fixed Income Valuation and Risk Analysis comprehensively covers the most definitive work on interest rate risk, term structure analysis, and credit risk in one easy-to-read volume. It examines the latest innovations in this field and provides information on virtually every well-known model used in valuing fixed income securities and derivatives. The companion CD-ROM contains numerous formulas and programming tools that allow readers to better model risk and value fixed income securities. This comprehensive resource provides readers with the hands-on information and software needed to succeed in this financial arena.
Hinweis: Dieser Artikel kann nur an eine deutsche Lieferadresse ausgeliefert werden.
Produktdetails
- Produktdetails
- Verlag: Wiley & Sons
- 1. Auflage
- Seitenzahl: 432
- Erscheinungstermin: 9. Mai 2005
- Englisch
- Abmessung: 235mm x 157mm x 28mm
- Gewicht: 665g
- ISBN-13: 9780471427247
- ISBN-10: 0471427241
- Artikelnr.: 14092931
- Verlag: Wiley & Sons
- 1. Auflage
- Seitenzahl: 432
- Erscheinungstermin: 9. Mai 2005
- Englisch
- Abmessung: 235mm x 157mm x 28mm
- Gewicht: 665g
- ISBN-13: 9780471427247
- ISBN-10: 0471427241
- Artikelnr.: 14092931
Sanjay K. Nawalkha, PhD, is Associate Professor of Finance at the University of Massachusetts Amherst, where he teaches graduate courses in finance theory and fixed income. He has published extensively in academic and practitioner journals, especially in the areas of fixed income and asset pricing. He is the coeditor of the book Interest Rate Risk Measurement and Management, published by Institutional Investor. Dr. Nawalkha is also the President and founder of Nawalkha and Associates. Gloria M. Soto, PhD, is Professor of Applied Economics and Finance at the University of Murcia, Spain. Dr. Soto has published extensively in both Spanish and international journals in finance, especially in the areas of interest rate risk management and related fixed income topics. She is also a partner at Nawalkha and Associates. Natalia A. Beliaeva holds an MS in computer science (artificial intelligence) and expects to receive her PhD in finance from the University of Massachusetts Amherst in 2005. Ms. Beliaeva's expertise is in the area of applied numerical methods for pricing fixed income derivatives.
List of Figures. List of Tables. Chapter 1: Interest Rate Risk Modeling: An
Overview. Duration and Convexity Models. M-Absolute and M-Square Models.
Duration Vector Models. Key Rate Duration Models. Principal Component
Duration Models. Applications to Financial Institutions. Interaction with
Other Risks. Notes. Chapter 2: Bond Price, Duration, and Convexity. Bond
Price under Continuous Compounding. Duration. Convexity. Common Fallacies
Concerning Duration and Convexity. Formulas for Duration and Convexity.
Appendix 2.1: Other Fallacies Concerning Duration and Convexity. Notes.
Chapter 3: Estimation of the Term Structure of Interest Rates. Bond Prices,
Spot Rates, and Forward Rates. Term Structure Estimation: The Basic
Methods. Advance Methods in Term Structure Estimation. Notes. Chapter 4:
M-Absolute and M-Square Risk Measures. Measuring Term Structure Shifts.
M-Absolute versus Duration. M-Square versus Convexity. Closed-Form
Solutions for M-Square and M-Absolute. Appendix 4.1: Derivation of the
M-Absolute and M-Square Models. Appendix 4.2: Two-Term
Taylor-Series-Expansion Approach to the M-Square Model. Notes. Chapter 5:
Duration Vector Models. The Duration Vector Model. Generalized Duration
Vector Models. Appendix 5.1: Derivation of the Generalized Duration Vector
Models. Notes. Chapter 6: Hedging with Interest-Rate Futures. Eurodollar
Futures. Treasury Bill Futures. Treasury Bond Futures. Treasury Note
Futures. Appendix 6.1: The Duration Vector of the Eurodollar Futures.
Appendix 6.2: The Duration Vector of the T-Bond Futures. Notes. Chapter 7:
Hedging with Bond Options: A General Gaussian Framework. A General Gaussian
Framework for Pricing Zero-Coupon Bond Options. The Duration Vectors of
Bond Options. The Duration Vector of Callable Bonds. Estimation of Duration
Vectors Using Non-Gaussian Term Structure Models. The Durations of European
Options on Coupon Bonds and Callable Coupon Bonds. Chapter 8: Hedging with
Swaps and Interest Rate Options Using the LIBOR Market Model. A Simple
Introduction to Interest Rate Swaps. Motivations for Interest Rate Swaps.
Pricing and Hedging with Interest Rate Swaps. Forward Rate Agreements.
Pricing and Hedging with Caps, Floors, and Collars Using the LIBOR Market
Model. Interest Rate Swaptions. Numerical Analysis. Notes. Chapter 9: Key
Rate Durations with VaR Analysis. Key Rate Changes. Key Rate Durations and
Convexities. Risk Measurement and Management. Key Rate Durations and Value
at Risk Analysis. Limitations of the Key Rate Model. Appendix 9.1:
Computing Key Rate Risk Measures for Complex Securities and under Maturity
Mismatches. Notes. Chapter 10: Principal Component Model with VaR
Analysis. From Term Structure Movements to Principal Components. Principal
Component Durations and Convexities. Risk Measurement and Management with
the Principal Component Model. VaR Analysis Using the Principal Component
Model. Limitations of the Principal Component Model. Applications to
Mortgage Securities. Appendix 10.1: Eigenvectors, Eigenvalues, and
Principal Components. Appendix 10.2: Computing Principal Component Risk
Measures for Complex Securities and under Maturity Mismatches. Notes.
Chapter 11: Duration Models for Default-Prone Securities. Pricing and
Duration of a Default-Free Zero-Coupon Bond under the Vasicek Model. The
Asset Duration. Pricing and Duration of a Default-Prone Zero-Coupon Bond:
The Merton Framework. Pricing and Duration of a Default-Prone Coupon Bond:
The First Passage Models. Appendix 11.1: Collin-Dufresne and Goldstein
Model. Notes. References. About the CD-ROM. Index.
Overview. Duration and Convexity Models. M-Absolute and M-Square Models.
Duration Vector Models. Key Rate Duration Models. Principal Component
Duration Models. Applications to Financial Institutions. Interaction with
Other Risks. Notes. Chapter 2: Bond Price, Duration, and Convexity. Bond
Price under Continuous Compounding. Duration. Convexity. Common Fallacies
Concerning Duration and Convexity. Formulas for Duration and Convexity.
Appendix 2.1: Other Fallacies Concerning Duration and Convexity. Notes.
Chapter 3: Estimation of the Term Structure of Interest Rates. Bond Prices,
Spot Rates, and Forward Rates. Term Structure Estimation: The Basic
Methods. Advance Methods in Term Structure Estimation. Notes. Chapter 4:
M-Absolute and M-Square Risk Measures. Measuring Term Structure Shifts.
M-Absolute versus Duration. M-Square versus Convexity. Closed-Form
Solutions for M-Square and M-Absolute. Appendix 4.1: Derivation of the
M-Absolute and M-Square Models. Appendix 4.2: Two-Term
Taylor-Series-Expansion Approach to the M-Square Model. Notes. Chapter 5:
Duration Vector Models. The Duration Vector Model. Generalized Duration
Vector Models. Appendix 5.1: Derivation of the Generalized Duration Vector
Models. Notes. Chapter 6: Hedging with Interest-Rate Futures. Eurodollar
Futures. Treasury Bill Futures. Treasury Bond Futures. Treasury Note
Futures. Appendix 6.1: The Duration Vector of the Eurodollar Futures.
Appendix 6.2: The Duration Vector of the T-Bond Futures. Notes. Chapter 7:
Hedging with Bond Options: A General Gaussian Framework. A General Gaussian
Framework for Pricing Zero-Coupon Bond Options. The Duration Vectors of
Bond Options. The Duration Vector of Callable Bonds. Estimation of Duration
Vectors Using Non-Gaussian Term Structure Models. The Durations of European
Options on Coupon Bonds and Callable Coupon Bonds. Chapter 8: Hedging with
Swaps and Interest Rate Options Using the LIBOR Market Model. A Simple
Introduction to Interest Rate Swaps. Motivations for Interest Rate Swaps.
Pricing and Hedging with Interest Rate Swaps. Forward Rate Agreements.
Pricing and Hedging with Caps, Floors, and Collars Using the LIBOR Market
Model. Interest Rate Swaptions. Numerical Analysis. Notes. Chapter 9: Key
Rate Durations with VaR Analysis. Key Rate Changes. Key Rate Durations and
Convexities. Risk Measurement and Management. Key Rate Durations and Value
at Risk Analysis. Limitations of the Key Rate Model. Appendix 9.1:
Computing Key Rate Risk Measures for Complex Securities and under Maturity
Mismatches. Notes. Chapter 10: Principal Component Model with VaR
Analysis. From Term Structure Movements to Principal Components. Principal
Component Durations and Convexities. Risk Measurement and Management with
the Principal Component Model. VaR Analysis Using the Principal Component
Model. Limitations of the Principal Component Model. Applications to
Mortgage Securities. Appendix 10.1: Eigenvectors, Eigenvalues, and
Principal Components. Appendix 10.2: Computing Principal Component Risk
Measures for Complex Securities and under Maturity Mismatches. Notes.
Chapter 11: Duration Models for Default-Prone Securities. Pricing and
Duration of a Default-Free Zero-Coupon Bond under the Vasicek Model. The
Asset Duration. Pricing and Duration of a Default-Prone Zero-Coupon Bond:
The Merton Framework. Pricing and Duration of a Default-Prone Coupon Bond:
The First Passage Models. Appendix 11.1: Collin-Dufresne and Goldstein
Model. Notes. References. About the CD-ROM. Index.
List of Figures. List of Tables. Chapter 1: Interest Rate Risk Modeling: An
Overview. Duration and Convexity Models. M-Absolute and M-Square Models.
Duration Vector Models. Key Rate Duration Models. Principal Component
Duration Models. Applications to Financial Institutions. Interaction with
Other Risks. Notes. Chapter 2: Bond Price, Duration, and Convexity. Bond
Price under Continuous Compounding. Duration. Convexity. Common Fallacies
Concerning Duration and Convexity. Formulas for Duration and Convexity.
Appendix 2.1: Other Fallacies Concerning Duration and Convexity. Notes.
Chapter 3: Estimation of the Term Structure of Interest Rates. Bond Prices,
Spot Rates, and Forward Rates. Term Structure Estimation: The Basic
Methods. Advance Methods in Term Structure Estimation. Notes. Chapter 4:
M-Absolute and M-Square Risk Measures. Measuring Term Structure Shifts.
M-Absolute versus Duration. M-Square versus Convexity. Closed-Form
Solutions for M-Square and M-Absolute. Appendix 4.1: Derivation of the
M-Absolute and M-Square Models. Appendix 4.2: Two-Term
Taylor-Series-Expansion Approach to the M-Square Model. Notes. Chapter 5:
Duration Vector Models. The Duration Vector Model. Generalized Duration
Vector Models. Appendix 5.1: Derivation of the Generalized Duration Vector
Models. Notes. Chapter 6: Hedging with Interest-Rate Futures. Eurodollar
Futures. Treasury Bill Futures. Treasury Bond Futures. Treasury Note
Futures. Appendix 6.1: The Duration Vector of the Eurodollar Futures.
Appendix 6.2: The Duration Vector of the T-Bond Futures. Notes. Chapter 7:
Hedging with Bond Options: A General Gaussian Framework. A General Gaussian
Framework for Pricing Zero-Coupon Bond Options. The Duration Vectors of
Bond Options. The Duration Vector of Callable Bonds. Estimation of Duration
Vectors Using Non-Gaussian Term Structure Models. The Durations of European
Options on Coupon Bonds and Callable Coupon Bonds. Chapter 8: Hedging with
Swaps and Interest Rate Options Using the LIBOR Market Model. A Simple
Introduction to Interest Rate Swaps. Motivations for Interest Rate Swaps.
Pricing and Hedging with Interest Rate Swaps. Forward Rate Agreements.
Pricing and Hedging with Caps, Floors, and Collars Using the LIBOR Market
Model. Interest Rate Swaptions. Numerical Analysis. Notes. Chapter 9: Key
Rate Durations with VaR Analysis. Key Rate Changes. Key Rate Durations and
Convexities. Risk Measurement and Management. Key Rate Durations and Value
at Risk Analysis. Limitations of the Key Rate Model. Appendix 9.1:
Computing Key Rate Risk Measures for Complex Securities and under Maturity
Mismatches. Notes. Chapter 10: Principal Component Model with VaR
Analysis. From Term Structure Movements to Principal Components. Principal
Component Durations and Convexities. Risk Measurement and Management with
the Principal Component Model. VaR Analysis Using the Principal Component
Model. Limitations of the Principal Component Model. Applications to
Mortgage Securities. Appendix 10.1: Eigenvectors, Eigenvalues, and
Principal Components. Appendix 10.2: Computing Principal Component Risk
Measures for Complex Securities and under Maturity Mismatches. Notes.
Chapter 11: Duration Models for Default-Prone Securities. Pricing and
Duration of a Default-Free Zero-Coupon Bond under the Vasicek Model. The
Asset Duration. Pricing and Duration of a Default-Prone Zero-Coupon Bond:
The Merton Framework. Pricing and Duration of a Default-Prone Coupon Bond:
The First Passage Models. Appendix 11.1: Collin-Dufresne and Goldstein
Model. Notes. References. About the CD-ROM. Index.
Overview. Duration and Convexity Models. M-Absolute and M-Square Models.
Duration Vector Models. Key Rate Duration Models. Principal Component
Duration Models. Applications to Financial Institutions. Interaction with
Other Risks. Notes. Chapter 2: Bond Price, Duration, and Convexity. Bond
Price under Continuous Compounding. Duration. Convexity. Common Fallacies
Concerning Duration and Convexity. Formulas for Duration and Convexity.
Appendix 2.1: Other Fallacies Concerning Duration and Convexity. Notes.
Chapter 3: Estimation of the Term Structure of Interest Rates. Bond Prices,
Spot Rates, and Forward Rates. Term Structure Estimation: The Basic
Methods. Advance Methods in Term Structure Estimation. Notes. Chapter 4:
M-Absolute and M-Square Risk Measures. Measuring Term Structure Shifts.
M-Absolute versus Duration. M-Square versus Convexity. Closed-Form
Solutions for M-Square and M-Absolute. Appendix 4.1: Derivation of the
M-Absolute and M-Square Models. Appendix 4.2: Two-Term
Taylor-Series-Expansion Approach to the M-Square Model. Notes. Chapter 5:
Duration Vector Models. The Duration Vector Model. Generalized Duration
Vector Models. Appendix 5.1: Derivation of the Generalized Duration Vector
Models. Notes. Chapter 6: Hedging with Interest-Rate Futures. Eurodollar
Futures. Treasury Bill Futures. Treasury Bond Futures. Treasury Note
Futures. Appendix 6.1: The Duration Vector of the Eurodollar Futures.
Appendix 6.2: The Duration Vector of the T-Bond Futures. Notes. Chapter 7:
Hedging with Bond Options: A General Gaussian Framework. A General Gaussian
Framework for Pricing Zero-Coupon Bond Options. The Duration Vectors of
Bond Options. The Duration Vector of Callable Bonds. Estimation of Duration
Vectors Using Non-Gaussian Term Structure Models. The Durations of European
Options on Coupon Bonds and Callable Coupon Bonds. Chapter 8: Hedging with
Swaps and Interest Rate Options Using the LIBOR Market Model. A Simple
Introduction to Interest Rate Swaps. Motivations for Interest Rate Swaps.
Pricing and Hedging with Interest Rate Swaps. Forward Rate Agreements.
Pricing and Hedging with Caps, Floors, and Collars Using the LIBOR Market
Model. Interest Rate Swaptions. Numerical Analysis. Notes. Chapter 9: Key
Rate Durations with VaR Analysis. Key Rate Changes. Key Rate Durations and
Convexities. Risk Measurement and Management. Key Rate Durations and Value
at Risk Analysis. Limitations of the Key Rate Model. Appendix 9.1:
Computing Key Rate Risk Measures for Complex Securities and under Maturity
Mismatches. Notes. Chapter 10: Principal Component Model with VaR
Analysis. From Term Structure Movements to Principal Components. Principal
Component Durations and Convexities. Risk Measurement and Management with
the Principal Component Model. VaR Analysis Using the Principal Component
Model. Limitations of the Principal Component Model. Applications to
Mortgage Securities. Appendix 10.1: Eigenvectors, Eigenvalues, and
Principal Components. Appendix 10.2: Computing Principal Component Risk
Measures for Complex Securities and under Maturity Mismatches. Notes.
Chapter 11: Duration Models for Default-Prone Securities. Pricing and
Duration of a Default-Free Zero-Coupon Bond under the Vasicek Model. The
Asset Duration. Pricing and Duration of a Default-Prone Zero-Coupon Bond:
The Merton Framework. Pricing and Duration of a Default-Prone Coupon Bond:
The First Passage Models. Appendix 11.1: Collin-Dufresne and Goldstein
Model. Notes. References. About the CD-ROM. Index.