Interest rate, term structure, and valuation modeling:
"Filled with expert advice, keen insights, and advanced modeling techniques, Interest Rate, Term Structure, and Valuation Modeling is a valuable reference source for anyone who needs to understand the critical elements in the valuation of fixed income securities and interest rate derivatives, a...
Gespeichert in:
| Format: | Buch |
|---|---|
| Sprache: | English |
| Veröffentlicht: |
Hoboken, NJ
Wiley
2002
|
| Schriftenreihe: | The Frank J. Fabozzi series
|
| Schlagworte: | |
| Online-Zugang: | Table of contents Inhaltsverzeichnis |
| Zusammenfassung: | "Filled with expert advice, keen insights, and advanced modeling techniques, Interest Rate, Term Structure, and Valuation Modeling is a valuable reference source for anyone who needs to understand the critical elements in the valuation of fixed income securities and interest rate derivatives, and the measurement of interest rate risk. Whether you're a portfolio manager, risk professional, or institutional investor, Interest Rate, Term Structure, and Valuation Modeling gives you the tools you need to evaluate the financial products most important to you."--BOOK JACKET. |
| Beschreibung: | Includes bibliographical references and index |
| Beschreibung: | XIII, 514 S. graph. Darst. |
| ISBN: | 0471220949 |
Internformat
MARC
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Datensatz im Suchindex
| _version_ | 1804129664194576384 |
|---|---|
| adam_text | contents
Preface j_
Contributing Authors xii
SECTION ONE
Interest Rate and Term Structure Modeling 1
CHAPTER 1
Interest Rate Models 3
Oren Cheyette
CHAPTER 2
The Four Faces of an Interest Rate Model 27
Peter Fitton and James F. McNatt
CHAPTER 3
A Review of No Arbitrage Interest Rate Models 39
Gerald W. Buetow, Frank J. Fabozzi, and James Sochacki
CHAPTER 4
An Introductory Guide to Analyzing and Interpreting the Yield Curve 73
Moorad Choudhry
CHAPTER 5
Term Structure Modeling 93
David Audley, Richard Chin, and Shrikant Ramamurthy
CHAPTER 6
A Practical Guide to Swap Curve Construction 137
Uri Ron
V
Wi Contents
CHAPTER 7
Fitting the Term Structure of Interest Rates Using the
Cubic Spline Methodology 157
Rod Pienaar and Moorad Choudhry
CHAPTER 8
Measuring and Forecasting Yield Volatility 187
Frank J. Fabozzi and Wai Lee
SECTION TWO
Modeling Factor Risk 213
CHAPTER 9
Term Structure Factor Models 215
Robert C. Kuberek
CHAPTER 10
Multi Factor Risk Models and Their Applications 241
Lev Dynkin and Jay Hyman
CHAPTER 11
Measuring Plausibility of Hypothetical Interest Rate Shocks 295
Bennett W. Golub and Leo M. Tilman
SECTION THREE
Valuation Models 313
CHAPTER 12
Understanding the Building Blocks for OAS Models 315
Philip 0. Obazee
CHAPTER 13
Yield Curves and Valuation Lattices: A Primer 345
Frank J. Fabozzi, Andrew Kalotay, and Michael Dorigan
CHAPTER 14
Using the Lattice Model to Value Bonds with Embedded Options,
Floaters, Options, and Caps/Floors 357
Frank J. Fabozzi, Andrew Kalotay, and Michael Dorigan
Contents VU
CHAPTER 15
Using the Lattice Model to Value Forward Start Swaps and Swaptions 379
Gerald W. Buetow, Jr. and Frank J. Fabozzi
CHAPTER 16
Valuing Path Dependent Securities 421
C. Douglas Howard
CHAPTER 17
Monte Carlo Simulation/OAS Approach to Valuing
Residential Real Estate Backed Securities 443
Frank J. Fabozzi, Scott F. Richard,and David S. Horowitz
CHAPTER 18
Mortgage Pricing on Low Dimensional Grids 469
Alexander Levin
CHAPTER 19
The Effect of Mean Reversion on the Valuation of Embedded Options
and OAS 489
David Audley and Richard Chin
INDEX 499
|
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| id | DE-604.BV014937932 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T19:08:44Z |
| institution | BVB |
| isbn | 0471220949 |
| language | English |
| lccn | 2002726819 |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-010080247 |
| oclc_num | 50055468 |
| open_access_boolean | |
| owner | DE-1102 |
| owner_facet | DE-1102 |
| physical | XIII, 514 S. graph. Darst. |
| publishDate | 2002 |
| publishDateSearch | 2002 |
| publishDateSort | 2002 |
| publisher | Wiley |
| record_format | marc |
| series2 | The Frank J. Fabozzi series |
| spelling | Interest rate, term structure, and valuation modeling Frank J. Fabozzi, ed. Hoboken, NJ Wiley 2002 XIII, 514 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier The Frank J. Fabozzi series Includes bibliographical references and index "Filled with expert advice, keen insights, and advanced modeling techniques, Interest Rate, Term Structure, and Valuation Modeling is a valuable reference source for anyone who needs to understand the critical elements in the valuation of fixed income securities and interest rate derivatives, and the measurement of interest rate risk. Whether you're a portfolio manager, risk professional, or institutional investor, Interest Rate, Term Structure, and Valuation Modeling gives you the tools you need to evaluate the financial products most important to you."--BOOK JACKET. Derivativos larpcal Investimentos larpcal Juros larpcal Portfolio-theorie gtt Rente gtt Risicoanalyse gtt Título de renda fixa larpcal Wiskundige modellen gtt Mathematisches Modell Derivative securities Valuation Mathematical models Fixed-income securities Valuation Mathematical models Interest rate futures Valuation Mathematical models Interest rates Mathematical models Zinsstruktur (DE-588)4067855-6 gnd rswk-swf Zinsstruktur (DE-588)4067855-6 s DE-604 Fabozzi, Frank J. 1948- Sonstige (DE-588)129772054 oth http://www.loc.gov/catdir/toc/wiley031/2002726819.html Table of contents HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010080247&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Interest rate, term structure, and valuation modeling Derivativos larpcal Investimentos larpcal Juros larpcal Portfolio-theorie gtt Rente gtt Risicoanalyse gtt Título de renda fixa larpcal Wiskundige modellen gtt Mathematisches Modell Derivative securities Valuation Mathematical models Fixed-income securities Valuation Mathematical models Interest rate futures Valuation Mathematical models Interest rates Mathematical models Zinsstruktur (DE-588)4067855-6 gnd |
| subject_GND | (DE-588)4067855-6 |
| title | Interest rate, term structure, and valuation modeling |
| title_auth | Interest rate, term structure, and valuation modeling |
| title_exact_search | Interest rate, term structure, and valuation modeling |
| title_full | Interest rate, term structure, and valuation modeling Frank J. Fabozzi, ed. |
| title_fullStr | Interest rate, term structure, and valuation modeling Frank J. Fabozzi, ed. |
| title_full_unstemmed | Interest rate, term structure, and valuation modeling Frank J. Fabozzi, ed. |
| title_short | Interest rate, term structure, and valuation modeling |
| title_sort | interest rate term structure and valuation modeling |
| topic | Derivativos larpcal Investimentos larpcal Juros larpcal Portfolio-theorie gtt Rente gtt Risicoanalyse gtt Título de renda fixa larpcal Wiskundige modellen gtt Mathematisches Modell Derivative securities Valuation Mathematical models Fixed-income securities Valuation Mathematical models Interest rate futures Valuation Mathematical models Interest rates Mathematical models Zinsstruktur (DE-588)4067855-6 gnd |
| topic_facet | Derivativos Investimentos Juros Portfolio-theorie Rente Risicoanalyse Título de renda fixa Wiskundige modellen Mathematisches Modell Derivative securities Valuation Mathematical models Fixed-income securities Valuation Mathematical models Interest rate futures Valuation Mathematical models Interest rates Mathematical models Zinsstruktur |
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