Quantitative analysis for investment management:
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Upper Saddle River, NJ
Prentice Hall
1996
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XIII, 306 S. graph. Darst. |
| ISBN: | 0133196909 |
Staff View
MARC
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| adam_text | Brief Contents
Introduction xi
PART I
Analysis of Individual Securities 1
1 Fixed Income Security Prices
and Yields 3
2 Option Free Bonds: Measuring and
Managing Interest Rate Risk 17
3 The Term Structure of Interest
Rates 40
4 Equities: The Discounted Cash
Flow Approach 59
5 Principles of Option Pricing 85
iii
iv / BRIEF CONTENTS
6 Fixed Income Securities with
Call and Prepayment Options 118
7 Other Options Embedded in Bonds
and Equities 149
8 Forward and Futures Contracts 167
PART II
Analysis of Portfolios of Securities 187
9 Investor Preferences and Attitudes
Toward Risk 189
10 Fundamentals of Portfolio Analysis:
The Generic Portfolio Problems 201
11 Capital Market Equilibrium and the Pricing
of Securities 230
12 Active Portfolio Strategies 242
13 Performance Evaluation and
the Organization of Portfolio
Management 275
Index 299
Contents
Introduction xi
I. Finance as a technology II. Outline of topics
PART I
Analysis of Individual Securities 1
1 Fixed Income Security Prices
and Yields 3
/. Overview II. The standard relationship between bond
prices and yields III. Complexities in fixed income
security price yield relationships IV. Arbitrage
relationships between whole bonds and zero coupon bonds
V. Summary Suggestions for further reading
Problems and questions
2 Option Free Bonds: Measuring and
Managing Interest Rate Risk 17
/. The problem of interest rate risk II. Duration and
convexity III. Immunization IV. Summary
Suggestions for further reading Problems and
questions Appendix to chapter 2
3 The Term Structure of Interest
Rates 40
v
vi / CONTENTS
/. The yield curve II. Theories of the term structure of
interest rates III. Summary Suggestions for
further reading Problems and questions Appendix
to chapter 3
4 Equities: The Discounted Cash
Flow Approach 59
I. The dividend discount model II. DDM with variable
growth rates III. Growth opportunities and stock prices
TV. Interest sensitivity of common stocks V. Summary
Suggestions for further reading Problems and
questions Appendix to chapter 4
5 Principles of Option Pricing 85
I. The nature of options II. The state preference model
and the no arbitrage principle III. Using the
no arbitrage principle to place boundaries on option prices
TV. The two state (binomial) option pricing model
V. The Black Scholes option pricing model
VI. Summary Suggestions for further reading
Problems and questions Appendix to chapter 5
6 Fixed Income Securities with
Call and Prepayment Options 118
I. Duration and convexity for callable bonds II. Models
for explicitly valuing interest rate options III. Option
adjusted spread analysis IV. Mortgages and mortgage
backed securities V. Summary Suggestions for
further reading Problems and questions Appendix
to chapter 6
7 Other Options Embedded in Bonds
and Equities 149
I. Other bonds with principal payment options
II. Convertible bonds III. The default option on
corporate debt TV. Equity with option features
V. Summary Suggestions for further reading
Problems and questions
CONTENTS / vii
8 Forward and Futures Contracts 167
/. Basic characteristics of forward and futures contracts
II. Arbitrage pricing of futures contracts on instruments
with no payouts III. Pricing futures contracts on
instruments with payouts TV. Commodity futures
V. Summary Suggestions for further reading
Problems and questions
PART II
Analysis of Portfolios of Securities 187
9 Investor Preferences and Attitudes
Toward Risk 189
I. The theory of investor preferences II. Measuring risk
aversion HI. A mean variance utility function
IV. Summary Suggestions for further reading
Problems and questions Appendix to chapter 9
10 Fundamentals of Portfolio Analysis:
The Generic Portfolio Problems 201
I. Properties of mean and variance II. The generic
portfolio problems III. Summary Suggestions for
further reading Problems and questions Appendix to
chapter 10
11 Capital Market Equilibrium and the Pricing
of Securities 230
I. Implications of market equilibrium for security pricing
II. The capital asset pricing model III. The arbitrage
pricing theory IV. Summary Suggestions for
further reading Problems and questions
12 Active Portfolio Strategies 242
I. Market timing II. Active passive portfolio
management HI. Extensions of market timing and
active passive management PV. Using futures
contracts in active portfolio management strategies
viii / CONTENTS
V. Using options in active portfolio management strategies
VI. Summary Suggestions for further reading
Problems and questions Appendix to chapter 12
13 Performance Evaluation and
the Organization of Portfolio
Management 275
I. Portfolio performance measurement II. The
organization of money management III. Summary
Suggestions for further reading Problems and
questions
Index 299
|
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| id | DE-604.BV011586634 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T18:12:18Z |
| institution | BVB |
| isbn | 0133196909 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-007803832 |
| oclc_num | 33818756 |
| open_access_boolean | |
| owner | DE-703 DE-29 |
| owner_facet | DE-703 DE-29 |
| physical | XIII, 306 S. graph. Darst. |
| publishDate | 1996 |
| publishDateSearch | 1996 |
| publishDateSort | 1996 |
| publisher | Prentice Hall |
| record_format | marc |
| spelling | Taggart, Robert A. Verfasser aut Quantitative analysis for investment management Robert A. Taggart Upper Saddle River, NJ Prentice Hall 1996 XIII, 306 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Effectenhandel gtt Investeringen gtt Portfolio-analyse gtt Mathematisches Modell Investment analysis Mathematical models Portfolio management Mathematical models Kapitalanlage (DE-588)4073213-7 gnd rswk-swf Kapitalanlage (DE-588)4073213-7 s DE-604 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=007803832&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Taggart, Robert A. Quantitative analysis for investment management Effectenhandel gtt Investeringen gtt Portfolio-analyse gtt Mathematisches Modell Investment analysis Mathematical models Portfolio management Mathematical models Kapitalanlage (DE-588)4073213-7 gnd |
| subject_GND | (DE-588)4073213-7 |
| title | Quantitative analysis for investment management |
| title_auth | Quantitative analysis for investment management |
| title_exact_search | Quantitative analysis for investment management |
| title_full | Quantitative analysis for investment management Robert A. Taggart |
| title_fullStr | Quantitative analysis for investment management Robert A. Taggart |
| title_full_unstemmed | Quantitative analysis for investment management Robert A. Taggart |
| title_short | Quantitative analysis for investment management |
| title_sort | quantitative analysis for investment management |
| topic | Effectenhandel gtt Investeringen gtt Portfolio-analyse gtt Mathematisches Modell Investment analysis Mathematical models Portfolio management Mathematical models Kapitalanlage (DE-588)4073213-7 gnd |
| topic_facet | Effectenhandel Investeringen Portfolio-analyse Mathematisches Modell Investment analysis Mathematical models Portfolio management Mathematical models Kapitalanlage |
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