Fixed income analytics: bonds in high and low interest rate environments
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Cham
Springer
[2017]
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | xvii, 204 Seiten Diagramme |
| ISBN: | 9783319485409 |
Internformat
MARC
| LEADER | 00000nam a2200000zc 4500 | ||
|---|---|---|---|
| 001 | BV044650798 | ||
| 003 | DE-604 | ||
| 005 | 20180104 | ||
| 007 | t | ||
| 008 | 171124s2017 |||| |||| 00||| eng d | ||
| 020 | |a 9783319485409 |9 978-3-319-48540-9 | ||
| 035 | |a (OCoLC)1014115211 | ||
| 035 | |a (DE-599)BVBBV044650798 | ||
| 040 | |a DE-604 |b ger |e rda | ||
| 041 | 0 | |a eng | |
| 049 | |a DE-355 | ||
| 082 | 0 | |a 332.0415 |2 23 | |
| 084 | |a QK 620 |0 (DE-625)141668: |2 rvk | ||
| 100 | 1 | |a Marty, Wolfgang |e Verfasser |0 (DE-588)1143259262 |4 aut | |
| 245 | 1 | 0 | |a Fixed income analytics |b bonds in high and low interest rate environments |c Wolfgang Marty |
| 264 | 1 | |a Cham |b Springer |c [2017] | |
| 264 | 4 | |c © 2017 | |
| 300 | |a xvii, 204 Seiten |b Diagramme | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 650 | 4 | |a Finance | |
| 650 | 4 | |a Business enterprises / Finance | |
| 650 | 4 | |a Banks and banking | |
| 650 | 4 | |a Risk management | |
| 650 | 4 | |a Capital market | |
| 650 | 4 | |a Economics, Mathematical | |
| 650 | 4 | |a Finance | |
| 650 | 4 | |a Capital Markets | |
| 650 | 4 | |a Business Finance | |
| 650 | 4 | |a Banking | |
| 650 | 4 | |a Risk Management | |
| 650 | 4 | |a Quantitative Finance | |
| 650 | 0 | 7 | |a Zinsstruktur |0 (DE-588)4067855-6 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Anleihe |0 (DE-588)4002107-5 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Rendite |0 (DE-588)4049459-7 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Portfoliomanagement |0 (DE-588)4115601-8 |2 gnd |9 rswk-swf |
| 689 | 0 | 0 | |a Anleihe |0 (DE-588)4002107-5 |D s |
| 689 | 0 | 1 | |a Portfoliomanagement |0 (DE-588)4115601-8 |D s |
| 689 | 0 | 2 | |a Zinsstruktur |0 (DE-588)4067855-6 |D s |
| 689 | 0 | 3 | |a Rendite |0 (DE-588)4049459-7 |D s |
| 689 | 0 | |5 DE-604 | |
| 776 | 0 | 8 | |i Erscheint auch als |n Online-Ausgabe |z 978-3-319-48541-6 |
| 856 | 4 | 2 | |m Digitalisierung UB Regensburg - ADAM Catalogue Enrichment |q application/pdf |u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=030048534&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |3 Inhaltsverzeichnis |
| 999 | |a oai:aleph.bib-bvb.de:BVB01-030048534 | ||
Datensatz im Suchindex
| _version_ | 1804178079128485888 |
|---|---|
| adam_text | 1 Introduction...................................................... 1
2 The Time Value of Money.............................................. 5
2.1 The Return Over a Time Unit..................................... 5
2.2 Discount Factors............................................... 7
2.3 Annuities.................................................... 12
3 The Flat Yield Curve Concept........................................ 17
3.1 The Description of a Straight Bond........................... 17
3.2 Yield Measures................................................. 24
3.3 Duration and Convexity......................................... 32
3.4 The Approximation of the Internal Rate of Return............... 55
3.4.1 The Direct Yield of a Portfolio.......................... 57
3.4.2 Different Approximation Scheme for the Internal
Rate of Return.......................................... 71
3.4.3 Macaulay Duration Approximation Versus Modified
Duration Approximation.................................. 81
3.4.4 Calculating the Macaulay Duration........................ 89
3.4.5 Numerical Illustrations.................................. 93
References......................................................... 102
4 The Term Structure of Interest Rate............................. 103
4.1 Spot Rate and the Forward Rate................................ 104
4.2 Discrete Forward Rate and the Instantaneous Forward Curve .... 107
4.3 Spot Rate and Yield Curve................................... Ill
4.4 The Effective Duration........................................ 126
References......................................................... 128
5 Spread Analysis.................................................... 129
5.1 Interest Rate Spread.......................................... 129
5.2 Rating Scales . .............................................. 133
5.3 Composite Rating.............................................. 142
5.4 Optionality................................................... 144
References......................................................... 147
xv
149
149
150
152
157
158
159
159
160
162
163
164
165
167
168
171
173
173
174
176
178
183
185
201
203
xvi
6 Different Fixed Income Instruments..............
6.1 Segmentation of the Yield Curve............
6.2 Floating Rate Note.........................
6.3 Interest Rate Swap ........................
6.4 Asset Swap.................................
References......................................
7 Fixed-Income Benchmarks.........................
7.1 Definition and Fundamental Properties......
7.2 Constructing a Fixed-Income Benchmark......
73 Recent Developments in the Benchmark Industry
7.4 Fixed Income as Asset Class................
7.4.1 Equity Benchmarks ..................
7.4.2 Fixed-Income Indices................
7.4.3 Hedged Fixed-Income Indices ........
7.4.4 Commodity Index.....................
References......................................
8 Convertible.....................................
8.1 Basics Notions.............................
8.2 The Stock Behavior.........................
8.3 The Bond Behavior..........................
8.4 The Embedded Call Option...................
References......................................
Appendices.........................................
References.........................................
Index.........................................
|
| any_adam_object | 1 |
| author | Marty, Wolfgang |
| author_GND | (DE-588)1143259262 |
| author_facet | Marty, Wolfgang |
| author_role | aut |
| author_sort | Marty, Wolfgang |
| author_variant | w m wm |
| building | Verbundindex |
| bvnumber | BV044650798 |
| classification_rvk | QK 620 |
| ctrlnum | (OCoLC)1014115211 (DE-599)BVBBV044650798 |
| dewey-full | 332.0415 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.0415 |
| dewey-search | 332.0415 |
| dewey-sort | 3332.0415 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Book |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>02079nam a2200565zc 4500</leader><controlfield tag="001">BV044650798</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">20180104 </controlfield><controlfield tag="007">t</controlfield><controlfield tag="008">171124s2017 |||| |||| 00||| eng d</controlfield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9783319485409</subfield><subfield code="9">978-3-319-48540-9</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)1014115211</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)BVBBV044650798</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield><subfield code="e">rda</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-355</subfield></datafield><datafield tag="082" ind1="0" ind2=" "><subfield code="a">332.0415</subfield><subfield code="2">23</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QK 620</subfield><subfield code="0">(DE-625)141668:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Marty, Wolfgang</subfield><subfield code="e">Verfasser</subfield><subfield code="0">(DE-588)1143259262</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Fixed income analytics</subfield><subfield code="b">bonds in high and low interest rate environments</subfield><subfield code="c">Wolfgang Marty</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Cham</subfield><subfield code="b">Springer</subfield><subfield code="c">[2017]</subfield></datafield><datafield tag="264" ind1=" " ind2="4"><subfield code="c">© 2017</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">xvii, 204 Seiten</subfield><subfield code="b">Diagramme</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="650" ind1=" " ind2="4"><subfield code="a">Finance</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Business enterprises / Finance</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Banks and banking</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Risk management</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Capital market</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Economics, Mathematical</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Finance</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Capital Markets</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Business Finance</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Banking</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Risk Management</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Quantitative Finance</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Zinsstruktur</subfield><subfield code="0">(DE-588)4067855-6</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Anleihe</subfield><subfield code="0">(DE-588)4002107-5</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Rendite</subfield><subfield code="0">(DE-588)4049459-7</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Portfoliomanagement</subfield><subfield code="0">(DE-588)4115601-8</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="689" ind1="0" ind2="0"><subfield code="a">Anleihe</subfield><subfield code="0">(DE-588)4002107-5</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="1"><subfield code="a">Portfoliomanagement</subfield><subfield code="0">(DE-588)4115601-8</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="2"><subfield code="a">Zinsstruktur</subfield><subfield code="0">(DE-588)4067855-6</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="3"><subfield code="a">Rendite</subfield><subfield code="0">(DE-588)4049459-7</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2=" "><subfield code="5">DE-604</subfield></datafield><datafield tag="776" ind1="0" ind2="8"><subfield code="i">Erscheint auch als</subfield><subfield code="n">Online-Ausgabe</subfield><subfield code="z">978-3-319-48541-6</subfield></datafield><datafield tag="856" ind1="4" ind2="2"><subfield code="m">Digitalisierung UB Regensburg - ADAM Catalogue Enrichment</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=030048534&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:BVB01-030048534</subfield></datafield></record></collection> |
| id | DE-604.BV044650798 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-10T07:58:16Z |
| institution | BVB |
| isbn | 9783319485409 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-030048534 |
| oclc_num | 1014115211 |
| open_access_boolean | |
| owner | DE-355 DE-BY-UBR |
| owner_facet | DE-355 DE-BY-UBR |
| physical | xvii, 204 Seiten Diagramme |
| publishDate | 2017 |
| publishDateSearch | 2017 |
| publishDateSort | 2017 |
| publisher | Springer |
| record_format | marc |
| spelling | Marty, Wolfgang Verfasser (DE-588)1143259262 aut Fixed income analytics bonds in high and low interest rate environments Wolfgang Marty Cham Springer [2017] © 2017 xvii, 204 Seiten Diagramme txt rdacontent n rdamedia nc rdacarrier Finance Business enterprises / Finance Banks and banking Risk management Capital market Economics, Mathematical Capital Markets Business Finance Banking Risk Management Quantitative Finance Zinsstruktur (DE-588)4067855-6 gnd rswk-swf Anleihe (DE-588)4002107-5 gnd rswk-swf Rendite (DE-588)4049459-7 gnd rswk-swf Portfoliomanagement (DE-588)4115601-8 gnd rswk-swf Anleihe (DE-588)4002107-5 s Portfoliomanagement (DE-588)4115601-8 s Zinsstruktur (DE-588)4067855-6 s Rendite (DE-588)4049459-7 s DE-604 Erscheint auch als Online-Ausgabe 978-3-319-48541-6 Digitalisierung UB Regensburg - ADAM Catalogue Enrichment application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=030048534&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Marty, Wolfgang Fixed income analytics bonds in high and low interest rate environments Finance Business enterprises / Finance Banks and banking Risk management Capital market Economics, Mathematical Capital Markets Business Finance Banking Risk Management Quantitative Finance Zinsstruktur (DE-588)4067855-6 gnd Anleihe (DE-588)4002107-5 gnd Rendite (DE-588)4049459-7 gnd Portfoliomanagement (DE-588)4115601-8 gnd |
| subject_GND | (DE-588)4067855-6 (DE-588)4002107-5 (DE-588)4049459-7 (DE-588)4115601-8 |
| title | Fixed income analytics bonds in high and low interest rate environments |
| title_auth | Fixed income analytics bonds in high and low interest rate environments |
| title_exact_search | Fixed income analytics bonds in high and low interest rate environments |
| title_full | Fixed income analytics bonds in high and low interest rate environments Wolfgang Marty |
| title_fullStr | Fixed income analytics bonds in high and low interest rate environments Wolfgang Marty |
| title_full_unstemmed | Fixed income analytics bonds in high and low interest rate environments Wolfgang Marty |
| title_short | Fixed income analytics |
| title_sort | fixed income analytics bonds in high and low interest rate environments |
| title_sub | bonds in high and low interest rate environments |
| topic | Finance Business enterprises / Finance Banks and banking Risk management Capital market Economics, Mathematical Capital Markets Business Finance Banking Risk Management Quantitative Finance Zinsstruktur (DE-588)4067855-6 gnd Anleihe (DE-588)4002107-5 gnd Rendite (DE-588)4049459-7 gnd Portfoliomanagement (DE-588)4115601-8 gnd |
| topic_facet | Finance Business enterprises / Finance Banks and banking Risk management Capital market Economics, Mathematical Capital Markets Business Finance Banking Risk Management Quantitative Finance Zinsstruktur Anleihe Rendite Portfoliomanagement |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=030048534&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT martywolfgang fixedincomeanalyticsbondsinhighandlowinterestrateenvironments |