Advanced fixed-income valuation tools:
Gespeichert in:
| Format: | Buch |
|---|---|
| Sprache: | English |
| Veröffentlicht: |
New York [u.a.]
Wiley
2000
|
| Schriftenreihe: | Wiley frontiers in finance
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XIV, 414 S. graph. Darst. |
| ISBN: | 0471254193 9780471254195 |
Internformat
MARC
| LEADER | 00000nam a2200000 c 4500 | ||
|---|---|---|---|
| 001 | BV040736509 | ||
| 003 | DE-604 | ||
| 005 | 20130314 | ||
| 007 | t | ||
| 008 | 130207s2000 d||| |||| 00||| eng d | ||
| 020 | |a 0471254193 |c hbk. |9 0-471-25419-3 | ||
| 020 | |a 9780471254195 |c hbk. |9 978-0-471-25419-5 | ||
| 035 | |a (OCoLC)632681352 | ||
| 035 | |a (DE-599)BVBBV040736509 | ||
| 040 | |a DE-604 |b ger |e rakwb | ||
| 041 | 0 | |a eng | |
| 049 | |a DE-188 | ||
| 245 | 1 | 0 | |a Advanced fixed-income valuation tools |c Narasimhan Jegadeesh ; Bruce Tuckman |
| 246 | 1 | 0 | |a fixed-income |
| 264 | 1 | |a New York [u.a.] |b Wiley |c 2000 | |
| 300 | |a XIV, 414 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 0 | |a Wiley frontiers in finance | |
| 650 | 0 | 7 | |a Wertpapierkurs |0 (DE-588)4065681-0 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Mathematisches Modell |0 (DE-588)4114528-8 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Festverzinsliches Wertpapier |0 (DE-588)4121262-9 |2 gnd |9 rswk-swf |
| 655 | 7 | |0 (DE-588)4143413-4 |a Aufsatzsammlung |2 gnd-content | |
| 689 | 0 | 0 | |a Festverzinsliches Wertpapier |0 (DE-588)4121262-9 |D s |
| 689 | 0 | 1 | |a Wertpapierkurs |0 (DE-588)4065681-0 |D s |
| 689 | 0 | 2 | |a Mathematisches Modell |0 (DE-588)4114528-8 |D s |
| 689 | 0 | |5 DE-604 | |
| 700 | 1 | |a Jegadeesh, Narasimhan |d 1956- |e Sonstige |0 (DE-588)132979810 |4 oth | |
| 700 | 1 | |a Tuckman, Bruce |d 1962- |e Sonstige |0 (DE-588)171126610 |4 oth | |
| 856 | 4 | 2 | |m HBZ Datenaustausch |q application/pdf |u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=025716527&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |3 Inhaltsverzeichnis |
| 999 | |a oai:aleph.bib-bvb.de:BVB01-025716527 | ||
Datensatz im Suchindex
| _version_ | 1804150055195639808 |
|---|---|
| adam_text | Contents
Part I Advanced Fixed-Income Mathematics 1
1 Fixed-Income Subtleties and the Pricing of
Long Bonds 7
Neil D. Pearson
2 Convexity Bias and the Yield Curve 25
Antti Ilmanen
3 Futures vs. Forward Prices: Implications for
Swap Pricing and Derivatives Valuation 58
Mark Grinblatt and Narasimhan Jegadeesh
Part II Term Structure Modeling 81
4 Discrete-Time Models of Bond Pricing 87
David Backus, Silverio Foresi, and Chris Telmer
5 Stochastic Mean Models of the Term Structure of
Interest Rates 128
Pierluigi Balduzzi, Sanjiv Ranjan Das, Silverio Foresi,
and Rangarajan K. Sundaram
xiii
xiv CONTENTS
6 Interest Rate Modeling with Jump-Diffusion
Processes 162
Sanjiv Ranjan Das
Part III Other Risk Factors 191
7 Some Elements of Rating-Based Credit
Risk Modeling 193
David Lando
8 Anatomy of Prepayments: The Salomon Brothers
Prepayment Model 216
Lakhbir Hayre and Arvind Rajan
9 The Pricing and Hedging of Mortgage-Backed
Securities: A Multivariate Density
Estimation Approach 265
Jacob Boudoukh, Matthew Richardson,
Richard Stanton, and Robert F. Whitelaw
10 The Muni Puzzle: Explanations and Implications
for Investors 302
John M.R. Chalmers
11 Models of Currency Option Pricing 320
Gurdip Bakshi and Zhizvu Chen
Part IV Numerical Valuation Techniques 345
12 Exploring the Relation between Discrete-Time
Jump Processes and the Finite
Difference Method 347
Steve Heston and Guofu Zhou
13 Monte Carlo Methods for the Valuation of
Interest Rate Securities 367
Leif Andersen and Phelim P. Boyle
Index 403
|
| any_adam_object | 1 |
| author_GND | (DE-588)132979810 (DE-588)171126610 |
| building | Verbundindex |
| bvnumber | BV040736509 |
| ctrlnum | (OCoLC)632681352 (DE-599)BVBBV040736509 |
| format | Book |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>01693nam a2200409 c 4500</leader><controlfield tag="001">BV040736509</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">20130314 </controlfield><controlfield tag="007">t</controlfield><controlfield tag="008">130207s2000 d||| |||| 00||| eng d</controlfield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">0471254193</subfield><subfield code="c">hbk.</subfield><subfield code="9">0-471-25419-3</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9780471254195</subfield><subfield code="c">hbk.</subfield><subfield code="9">978-0-471-25419-5</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)632681352</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)BVBBV040736509</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield><subfield code="e">rakwb</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-188</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Advanced fixed-income valuation tools</subfield><subfield code="c">Narasimhan Jegadeesh ; Bruce Tuckman</subfield></datafield><datafield tag="246" ind1="1" ind2="0"><subfield code="a">fixed-income</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">New York [u.a.]</subfield><subfield code="b">Wiley</subfield><subfield code="c">2000</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">XIV, 414 S.</subfield><subfield code="b">graph. Darst.</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">n</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">nc</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="490" ind1="0" ind2=" "><subfield code="a">Wiley frontiers in finance</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Wertpapierkurs</subfield><subfield code="0">(DE-588)4065681-0</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Mathematisches Modell</subfield><subfield code="0">(DE-588)4114528-8</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Festverzinsliches Wertpapier</subfield><subfield code="0">(DE-588)4121262-9</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="655" ind1=" " ind2="7"><subfield code="0">(DE-588)4143413-4</subfield><subfield code="a">Aufsatzsammlung</subfield><subfield code="2">gnd-content</subfield></datafield><datafield tag="689" ind1="0" ind2="0"><subfield code="a">Festverzinsliches Wertpapier</subfield><subfield code="0">(DE-588)4121262-9</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="1"><subfield code="a">Wertpapierkurs</subfield><subfield code="0">(DE-588)4065681-0</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="2"><subfield code="a">Mathematisches Modell</subfield><subfield code="0">(DE-588)4114528-8</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2=" "><subfield code="5">DE-604</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Jegadeesh, Narasimhan</subfield><subfield code="d">1956-</subfield><subfield code="e">Sonstige</subfield><subfield code="0">(DE-588)132979810</subfield><subfield code="4">oth</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Tuckman, Bruce</subfield><subfield code="d">1962-</subfield><subfield code="e">Sonstige</subfield><subfield code="0">(DE-588)171126610</subfield><subfield code="4">oth</subfield></datafield><datafield tag="856" ind1="4" ind2="2"><subfield code="m">HBZ Datenaustausch</subfield><subfield code="q">application/pdf</subfield><subfield code="u">http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=025716527&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA</subfield><subfield code="3">Inhaltsverzeichnis</subfield></datafield><datafield tag="999" ind1=" " ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-025716527</subfield></datafield></record></collection> |
| genre | (DE-588)4143413-4 Aufsatzsammlung gnd-content |
| genre_facet | Aufsatzsammlung |
| id | DE-604.BV040736509 |
| illustrated | Illustrated |
| indexdate | 2024-07-10T00:32:50Z |
| institution | BVB |
| isbn | 0471254193 9780471254195 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-025716527 |
| oclc_num | 632681352 |
| open_access_boolean | |
| owner | DE-188 |
| owner_facet | DE-188 |
| physical | XIV, 414 S. graph. Darst. |
| publishDate | 2000 |
| publishDateSearch | 2000 |
| publishDateSort | 2000 |
| publisher | Wiley |
| record_format | marc |
| series2 | Wiley frontiers in finance |
| spelling | Advanced fixed-income valuation tools Narasimhan Jegadeesh ; Bruce Tuckman fixed-income New York [u.a.] Wiley 2000 XIV, 414 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Wiley frontiers in finance Wertpapierkurs (DE-588)4065681-0 gnd rswk-swf Mathematisches Modell (DE-588)4114528-8 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 Wertpapierkurs (DE-588)4065681-0 s Mathematisches Modell (DE-588)4114528-8 s DE-604 Jegadeesh, Narasimhan 1956- Sonstige (DE-588)132979810 oth Tuckman, Bruce 1962- Sonstige (DE-588)171126610 oth HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=025716527&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Advanced fixed-income valuation tools Wertpapierkurs (DE-588)4065681-0 gnd Mathematisches Modell (DE-588)4114528-8 gnd Festverzinsliches Wertpapier (DE-588)4121262-9 gnd |
| subject_GND | (DE-588)4065681-0 (DE-588)4114528-8 (DE-588)4121262-9 (DE-588)4143413-4 |
| title | Advanced fixed-income valuation tools |
| title_alt | fixed-income |
| title_auth | Advanced fixed-income valuation tools |
| title_exact_search | Advanced fixed-income valuation tools |
| title_full | Advanced fixed-income valuation tools Narasimhan Jegadeesh ; Bruce Tuckman |
| title_fullStr | Advanced fixed-income valuation tools Narasimhan Jegadeesh ; Bruce Tuckman |
| title_full_unstemmed | Advanced fixed-income valuation tools Narasimhan Jegadeesh ; Bruce Tuckman |
| title_short | Advanced fixed-income valuation tools |
| title_sort | advanced fixed income valuation tools |
| topic | Wertpapierkurs (DE-588)4065681-0 gnd Mathematisches Modell (DE-588)4114528-8 gnd Festverzinsliches Wertpapier (DE-588)4121262-9 gnd |
| topic_facet | Wertpapierkurs Mathematisches Modell Festverzinsliches Wertpapier Aufsatzsammlung |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=025716527&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT jegadeeshnarasimhan advancedfixedincomevaluationtools AT tuckmanbruce advancedfixedincomevaluationtools AT jegadeeshnarasimhan fixedincome AT tuckmanbruce fixedincome |