Advances in fixed income valuation modeling and risk management:
Gespeichert in:
| Format: | Buch |
|---|---|
| Sprache: | English |
| Veröffentlicht: |
New Hope, Pa.
Fabozzi
1997
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XI, 379 S. graph. Darst. |
| ISBN: | 1883249171 |
Internformat
MARC
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Datensatz im Suchindex
| _version_ | 1804126043385102336 |
|---|---|
| adam_text | Table of Contents
Preface v
Contributing Authors x
Index of Advertisers xi
1. Interest Rate Models 1
Oren Cheyette
2. The Four Faces of an Interest Rate Model 21
Peter Fitton and James F. McNatt
3. Arbitrage Free Bond Canonical Decomposition 33
Thomas S. Y. Ho and Michael Z. H. Chen
4. Valuing Path Dependent Securities:
Some Numerical Examples 49
C. Douglas Howard
5. Problems Encountered in Valuing Interest Rate Derivatives 69
Yiannos A. Pierides
6. Recent Advances in Corporate Bond Valuation 85
Louis L. Gagnon, William J. Hurley, and Lewis D. Johnson
7. An Options Approach to Commercial Mortgages and
CMBS Valuation and Risk Analysis 103
David P. Jacob, Ted C.H. Hong, and Laurence H. Lee
8. A Two Factor Model for the Valuation of the
T Bond Futures Contract s Embedded Options 135
Soren S. Nielsen and Ehud 1. Ronn
9. Pricing and Hedging Interest Rate Risks with the
Multi Factor Cox Ingersoll Ross Model 153
Ren Raw Chen and Louis O. Scott
10. Valuation and Analysis of ARMs 171
Satish M. Mansukhani
11. Valuation and Portfolio Risk Management with
Mortgage Backed Securities 193
Stavros A. Zenios
12.; An Integrated Framework for Valuation and
Risk Analysis of International Bonds 213
Roveen Bhansali and Lisa Goldberg
13. Tax Effects in U.S. Government Bond Markets 233
Ehud 1. Ronn andYongjai Shin
14. Fixed Income Risk 251
^y Ronald N. Kahn
15. Advanced Risk Measures for Fixed Income Securities 269
Teri Geske and Gunnar Klinkhammer
16. Yield Curve Risk Management 281
Robert R. Reitano
17. Portfolio Risk Management 317
H. Gifford Fong and Oldrich A. Vasicek
18. Numerical Pitfalls of Lattice Based Duration and
Convexity Calculations 327
C. Douglas Howard
19. Price Sensitivity Measures for Brady Bonds 337
Steven Dym
20. Modeling and Forecasting Interest Rate Volatility with
GARCH 345
Wai Lee and John Yin
Index 363
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| id | DE-604.BV011522840 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T18:11:11Z |
| institution | BVB |
| isbn | 1883249171 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-007754421 |
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| physical | XI, 379 S. graph. Darst. |
| publishDate | 1997 |
| publishDateSearch | 1997 |
| publishDateSort | 1997 |
| publisher | Fabozzi |
| record_format | marc |
| spelling | Advances in fixed income valuation modeling and risk management ed. by Frank J. Fabozzi New Hope, Pa. Fabozzi 1997 XI, 379 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Wertpapieranalyse (DE-588)4124458-8 gnd rswk-swf Festverzinsliches Wertpapier (DE-588)4121262-9 gnd rswk-swf (DE-588)4143413-4 Aufsatzsammlung gnd-content Festverzinsliches Wertpapier (DE-588)4121262-9 s Wertpapieranalyse (DE-588)4124458-8 s DE-604 Fabozzi, Frank J. 1948- Sonstige (DE-588)129772054 oth HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=007754421&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Advances in fixed income valuation modeling and risk management Wertpapieranalyse (DE-588)4124458-8 gnd Festverzinsliches Wertpapier (DE-588)4121262-9 gnd |
| subject_GND | (DE-588)4124458-8 (DE-588)4121262-9 (DE-588)4143413-4 |
| title | Advances in fixed income valuation modeling and risk management |
| title_auth | Advances in fixed income valuation modeling and risk management |
| title_exact_search | Advances in fixed income valuation modeling and risk management |
| title_full | Advances in fixed income valuation modeling and risk management ed. by Frank J. Fabozzi |
| title_fullStr | Advances in fixed income valuation modeling and risk management ed. by Frank J. Fabozzi |
| title_full_unstemmed | Advances in fixed income valuation modeling and risk management ed. by Frank J. Fabozzi |
| title_short | Advances in fixed income valuation modeling and risk management |
| title_sort | advances in fixed income valuation modeling and risk management |
| topic | Wertpapieranalyse (DE-588)4124458-8 gnd Festverzinsliches Wertpapier (DE-588)4121262-9 gnd |
| topic_facet | Wertpapieranalyse Festverzinsliches Wertpapier Aufsatzsammlung |
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