Pricing and hedging interest and credit risk sensitive instruments:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Oxford [England]
Elsevier Butterworth-Heinemann
2005
|
| Schlagworte: | |
| Online-Zugang: | FAW01 FAW02 Volltext |
| Beschreibung: | This book is tightly focused on the pricing and hedging of fixed income securities and their derivatives. It is targeted at those who are interested in trading these instruments in an investment bank, but is also useful for those responsible for monitoring compliance of the traders such as regulators, back office staff, middle and senior lever managers. To broaden its appeal, this book lowers the barriers to learning by keeping math to a minimum and by illustrating concepts through detailed numerical examples using Excel workbooks/spreadsheets on a CD with the book. On the accompanying CD with the book, three interest rate models are illustrated: Ho and Lee, constant volatility and Black Derman and Toy, along with two evolutionary models, Vasicek and CIR and two credit risk models, Jarrow and Turnbull and Duffie and Singleton. These are implemented via spreadsheets on the CD. * Starts at an introductory level and then develops advanced topics * Provides plenty of numerical examples rather than mathematical equations to aid full understanding of the strengths and weaknesses of all interest rate derivative models * Can be used for self-study - a complete book on the topic, which includes examples with answers An Introduction to Interest Rate and Credit Sensitive Instruments; The Sovereign Term Structure and the Risk Structure of Interest Rates; Measuring the Existing Sovereign Term Structure and the Risk Structure of Interest Rates; Modelling the Sovereign Term Structure of Interest Rates: The Binomial Approach; Interest Rate Modelling: The term structure consistent approach; Interest and Credit Risk Modelling; Hedging Sovereign Bonds: The Traditional Approach; Active and Passive Strategies; Alternative Hedge Ratios; Pricing and Hedging Non-Fixed Income Securities; Credit Derivatives; Embedded Options Includes bibliographical references (p. [361]-365) and index |
| Beschreibung: | 1 Online-Ressource (x, 375 p.) |
| ISBN: | 0080473954 075066259X 9780080473956 9780750662598 |
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| 500 | |a This book is tightly focused on the pricing and hedging of fixed income securities and their derivatives. It is targeted at those who are interested in trading these instruments in an investment bank, but is also useful for those responsible for monitoring compliance of the traders such as regulators, back office staff, middle and senior lever managers. To broaden its appeal, this book lowers the barriers to learning by keeping math to a minimum and by illustrating concepts through detailed numerical examples using Excel workbooks/spreadsheets on a CD with the book. On the accompanying CD with the book, three interest rate models are illustrated: Ho and Lee, constant volatility and Black Derman and Toy, along with two evolutionary models, Vasicek and CIR and two credit risk models, Jarrow and Turnbull and Duffie and Singleton. These are implemented via spreadsheets on the CD. * Starts at an introductory level and then develops advanced topics * Provides plenty of numerical examples rather than mathematical equations to aid full understanding of the strengths and weaknesses of all interest rate derivative models * Can be used for self-study - a complete book on the topic, which includes examples with answers | ||
| 500 | |a An Introduction to Interest Rate and Credit Sensitive Instruments; The Sovereign Term Structure and the Risk Structure of Interest Rates; Measuring the Existing Sovereign Term Structure and the Risk Structure of Interest Rates; Modelling the Sovereign Term Structure of Interest Rates: The Binomial Approach; Interest Rate Modelling: The term structure consistent approach; Interest and Credit Risk Modelling; Hedging Sovereign Bonds: The Traditional Approach; Active and Passive Strategies; Alternative Hedge Ratios; Pricing and Hedging Non-Fixed Income Securities; Credit Derivatives; Embedded Options | ||
| 500 | |a Includes bibliographical references (p. [361]-365) and index | ||
| 650 | 7 | |a BUSINESS & ECONOMICS / Investments & Securities / General |2 bisacsh | |
| 650 | 7 | |a Credit / Management / Mathematical models |2 fast | |
| 650 | 7 | |a Hedging (Finance) |2 fast | |
| 650 | 7 | |a Interest rates / Mathematical models |2 fast | |
| 650 | 7 | |a Risk management / Mathematical models |2 fast | |
| 650 | 4 | |a Mathematisches Modell | |
| 650 | 4 | |a Wirtschaft | |
| 650 | 4 | |a Hedging (Finance) | |
| 650 | 4 | |a Interest rates |x Mathematical models | |
| 650 | 4 | |a Credit |x Management |x Mathematical models | |
| 650 | 4 | |a Risk management |x Mathematical models | |
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Datensatz im Suchindex
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| any_adam_object | |
| author | Skinner, Frank |
| author_facet | Skinner, Frank |
| author_role | aut |
| author_sort | Skinner, Frank |
| author_variant | f s fs |
| building | Verbundindex |
| bvnumber | BV043044105 |
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| ctrlnum | (OCoLC)213298533 (DE-599)BVBBV043044105 |
| dewey-full | 332.63/2 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.63/2 |
| dewey-search | 332.63/2 |
| dewey-sort | 3332.63 12 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Electronic eBook |
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| id | DE-604.BV043044105 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-10T07:15:50Z |
| institution | BVB |
| isbn | 0080473954 075066259X 9780080473956 9780750662598 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-028468642 |
| oclc_num | 213298533 |
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| physical | 1 Online-Ressource (x, 375 p.) |
| psigel | ZDB-4-EBA ZDB-4-EBA FAW_PDA_EBA |
| publishDate | 2005 |
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| publisher | Elsevier Butterworth-Heinemann |
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| spelling | Skinner, Frank Verfasser aut Pricing and hedging interest and credit risk sensitive instruments Frank Skinner Oxford [England] Elsevier Butterworth-Heinemann 2005 1 Online-Ressource (x, 375 p.) txt rdacontent c rdamedia cr rdacarrier This book is tightly focused on the pricing and hedging of fixed income securities and their derivatives. It is targeted at those who are interested in trading these instruments in an investment bank, but is also useful for those responsible for monitoring compliance of the traders such as regulators, back office staff, middle and senior lever managers. To broaden its appeal, this book lowers the barriers to learning by keeping math to a minimum and by illustrating concepts through detailed numerical examples using Excel workbooks/spreadsheets on a CD with the book. On the accompanying CD with the book, three interest rate models are illustrated: Ho and Lee, constant volatility and Black Derman and Toy, along with two evolutionary models, Vasicek and CIR and two credit risk models, Jarrow and Turnbull and Duffie and Singleton. These are implemented via spreadsheets on the CD. * Starts at an introductory level and then develops advanced topics * Provides plenty of numerical examples rather than mathematical equations to aid full understanding of the strengths and weaknesses of all interest rate derivative models * Can be used for self-study - a complete book on the topic, which includes examples with answers An Introduction to Interest Rate and Credit Sensitive Instruments; The Sovereign Term Structure and the Risk Structure of Interest Rates; Measuring the Existing Sovereign Term Structure and the Risk Structure of Interest Rates; Modelling the Sovereign Term Structure of Interest Rates: The Binomial Approach; Interest Rate Modelling: The term structure consistent approach; Interest and Credit Risk Modelling; Hedging Sovereign Bonds: The Traditional Approach; Active and Passive Strategies; Alternative Hedge Ratios; Pricing and Hedging Non-Fixed Income Securities; Credit Derivatives; Embedded Options Includes bibliographical references (p. [361]-365) and index BUSINESS & ECONOMICS / Investments & Securities / General bisacsh Credit / Management / Mathematical models fast Hedging (Finance) fast Interest rates / Mathematical models fast Risk management / Mathematical models fast Mathematisches Modell Wirtschaft Hedging (Finance) Interest rates Mathematical models Credit Management Mathematical models Risk management Mathematical models http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=189671 Aggregator Volltext |
| spellingShingle | Skinner, Frank Pricing and hedging interest and credit risk sensitive instruments BUSINESS & ECONOMICS / Investments & Securities / General bisacsh Credit / Management / Mathematical models fast Hedging (Finance) fast Interest rates / Mathematical models fast Risk management / Mathematical models fast Mathematisches Modell Wirtschaft Hedging (Finance) Interest rates Mathematical models Credit Management Mathematical models Risk management Mathematical models |
| title | Pricing and hedging interest and credit risk sensitive instruments |
| title_auth | Pricing and hedging interest and credit risk sensitive instruments |
| title_exact_search | Pricing and hedging interest and credit risk sensitive instruments |
| title_full | Pricing and hedging interest and credit risk sensitive instruments Frank Skinner |
| title_fullStr | Pricing and hedging interest and credit risk sensitive instruments Frank Skinner |
| title_full_unstemmed | Pricing and hedging interest and credit risk sensitive instruments Frank Skinner |
| title_short | Pricing and hedging interest and credit risk sensitive instruments |
| title_sort | pricing and hedging interest and credit risk sensitive instruments |
| topic | BUSINESS & ECONOMICS / Investments & Securities / General bisacsh Credit / Management / Mathematical models fast Hedging (Finance) fast Interest rates / Mathematical models fast Risk management / Mathematical models fast Mathematisches Modell Wirtschaft Hedging (Finance) Interest rates Mathematical models Credit Management Mathematical models Risk management Mathematical models |
| topic_facet | BUSINESS & ECONOMICS / Investments & Securities / General Credit / Management / Mathematical models Hedging (Finance) Interest rates / Mathematical models Risk management / Mathematical models Mathematisches Modell Wirtschaft Interest rates Mathematical models Credit Management Mathematical models Risk management Mathematical models |
| url | http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=189671 |
| work_keys_str_mv | AT skinnerfrank pricingandhedginginterestandcreditrisksensitiveinstruments |