Pricing and hedging interest and credit risk sensitive instruments /:
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 regulator...
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Oxford [England] ; Burlington, MA :
Elsevier Butterworth-Heinemann,
2005.
|
| Schlagworte: | |
| Online-Zugang: | DE-862 DE-863 DE-862 DE-863 |
| Zusammenfassung: | 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. |
| Beschreibung: | 1 online resource (x, 375 pages) : illustrations |
| Bibliographie: | Includes bibliographical references (pages 361-365) and index. |
| ISBN: | 9780750662598 075066259X 9780080473956 0080473954 |
Internformat
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| 520 | |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. | ||
| 505 | 0 | |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. | |
| 504 | |a Includes bibliographical references (pages 361-365) and index. | ||
| 588 | 0 | |a Print version record. | |
| 650 | 0 | |a Hedging (Finance) |0 http://id.loc.gov/authorities/subjects/sh85059914 | |
| 650 | 0 | |a Interest rates |x Mathematical models. | |
| 650 | 0 | |a Credit |x Management |x Mathematical models. | |
| 650 | 0 | |a Risk management |x Mathematical models. | |
| 650 | 6 | |a Couverture (Finances) | |
| 650 | 6 | |a Taux d'intérêt |x Modèles mathématiques. | |
| 650 | 6 | |a Crédit |x Gestion |x Modèles mathématiques. | |
| 650 | 6 | |a Gestion du risque |x Modèles mathématiques. | |
| 650 | 7 | |a BUSINESS & ECONOMICS |x Investments & Securities |x General. |2 bisacsh | |
| 650 | 7 | |a Credit |x Management |x Mathematical models |2 fast | |
| 650 | 7 | |a Hedging (Finance) |2 fast | |
| 650 | 7 | |a Interest rates |x Mathematical models |2 fast | |
| 650 | 7 | |a Risk management |x Mathematical models |2 fast | |
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| 776 | 0 | 8 | |i Print version: |a Skinner, Frank, 1957- |t Pricing and hedging interest and credit risk sensitive instruments. |d Oxford [England] ; Burlington, MA : Elsevier Butterworth-Heinemann, 2005 |z 075066259X |z 9780750662598 |w (DLC) 2004050697 |w (OCoLC)55108987 |
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Datensatz im Suchindex
| DE-BY-FWS_katkey | ZDB-4-EBA-ocn213298533 |
|---|---|
| _version_ | 1829094620936536064 |
| adam_text | |
| any_adam_object | |
| author | Skinner, Frank, 1957- |
| author_GND | http://id.loc.gov/authorities/names/nb2001058077 |
| author_facet | Skinner, Frank, 1957- |
| author_role | |
| author_sort | Skinner, Frank, 1957- |
| author_variant | f s fs |
| building | Verbundindex |
| bvnumber | localFWS |
| callnumber-first | H - Social Science |
| callnumber-label | HG6024 |
| callnumber-raw | HG6024.A3 S564 2005eb |
| callnumber-search | HG6024.A3 S564 2005eb |
| callnumber-sort | HG 46024 A3 S564 42005EB |
| callnumber-subject | HG - Finance |
| collection | ZDB-4-EBA |
| contents | 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. |
| ctrlnum | (OCoLC)213298533 |
| 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 | ZDB-4-EBA-ocn213298533 |
| illustrated | Illustrated |
| indexdate | 2025-04-11T08:36:02Z |
| institution | BVB |
| isbn | 9780750662598 075066259X 9780080473956 0080473954 |
| language | English |
| oclc_num | 213298533 |
| open_access_boolean | |
| owner | MAIN DE-862 DE-BY-FWS DE-863 DE-BY-FWS |
| owner_facet | MAIN DE-862 DE-BY-FWS DE-863 DE-BY-FWS |
| physical | 1 online resource (x, 375 pages) : illustrations |
| psigel | ZDB-4-EBA FWS_PDA_EBA ZDB-4-EBA |
| publishDate | 2005 |
| publishDateSearch | 2005 |
| publishDateSort | 2005 |
| publisher | Elsevier Butterworth-Heinemann, |
| record_format | marc |
| spelling | Skinner, Frank, 1957- https://id.oclc.org/worldcat/entity/E39PCjwftmKCYdp6KJBCTdPD4m http://id.loc.gov/authorities/names/nb2001058077 Pricing and hedging interest and credit risk sensitive instruments / Frank Skinner. Oxford [England] ; Burlington, MA : Elsevier Butterworth-Heinemann, 2005. 1 online resource (x, 375 pages) : illustrations text txt rdacontent computer c rdamedia online resource 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 (pages 361-365) and index. Print version record. Hedging (Finance) http://id.loc.gov/authorities/subjects/sh85059914 Interest rates Mathematical models. Credit Management Mathematical models. Risk management Mathematical models. Couverture (Finances) Taux d'intérêt Modèles mathématiques. Crédit Gestion Modèles mathématiques. Gestion du risque Modèles mathématiques. BUSINESS & ECONOMICS Investments & Securities General. bisacsh Credit Management Mathematical models fast Hedging (Finance) fast Interest rates Mathematical models fast Risk management Mathematical models fast has work: Pricing and hedging interest and credit risk sensitive instruments (Text) https://id.oclc.org/worldcat/entity/E39PCGywrvKf8TjkDRj7wyJPXq https://id.oclc.org/worldcat/ontology/hasWork Print version: Skinner, Frank, 1957- Pricing and hedging interest and credit risk sensitive instruments. Oxford [England] ; Burlington, MA : Elsevier Butterworth-Heinemann, 2005 075066259X 9780750662598 (DLC) 2004050697 (OCoLC)55108987 |
| spellingShingle | Skinner, Frank, 1957- Pricing and hedging interest and credit risk sensitive instruments / 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. Hedging (Finance) http://id.loc.gov/authorities/subjects/sh85059914 Interest rates Mathematical models. Credit Management Mathematical models. Risk management Mathematical models. Couverture (Finances) Taux d'intérêt Modèles mathématiques. Crédit Gestion Modèles mathématiques. Gestion du risque Modèles mathématiques. BUSINESS & ECONOMICS Investments & Securities General. bisacsh Credit Management Mathematical models fast Hedging (Finance) fast Interest rates Mathematical models fast Risk management Mathematical models fast |
| subject_GND | http://id.loc.gov/authorities/subjects/sh85059914 |
| 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 | Hedging (Finance) http://id.loc.gov/authorities/subjects/sh85059914 Interest rates Mathematical models. Credit Management Mathematical models. Risk management Mathematical models. Couverture (Finances) Taux d'intérêt Modèles mathématiques. Crédit Gestion Modèles mathématiques. Gestion du risque Modèles mathématiques. BUSINESS & ECONOMICS Investments & Securities General. bisacsh Credit Management Mathematical models fast Hedging (Finance) fast Interest rates Mathematical models fast Risk management Mathematical models fast |
| topic_facet | Hedging (Finance) Interest rates Mathematical models. Credit Management Mathematical models. Risk management Mathematical models. Couverture (Finances) Taux d'intérêt Modèles mathématiques. Crédit Gestion Modèles mathématiques. Gestion du risque Modèles mathématiques. BUSINESS & ECONOMICS Investments & Securities General. Credit Management Mathematical models Interest rates Mathematical models Risk management Mathematical models |
| work_keys_str_mv | AT skinnerfrank pricingandhedginginterestandcreditrisksensitiveinstruments |