Custom cover image
Custom cover image

Introduction to fixed income analytics : relative value analysis, risk measures, and valuation / Frank J. Fabozzi, Steven V. Mann

By: Contributor(s): Resource type: Ressourcentyp: Buch (Online)Book (Online)Language: English Series: The Frank J. Fabozzi series | Frank J. Fabozzi | Frank J. Fabozzi series ; 191Publisher: Hoboken, N.J : Wiley, c2010Copyright date: ©2010Edition: 2nd ed (Online-Ausg.)Description: Online-Ressource (1 online resource (xv, 479 p.)) : illISBN:
  • 9781282817111
  • 1282817116
  • 9780470922071
Subject(s): Additional physical formats: 9780470572139 | 0470572132 | 9780470922071 | 1282827952 | Erscheint auch als: Introduction to fixed income analytics. Druck-Ausgabe 2. ed. Hoboken, N.J. : Wiley, 2010. XV, 479 S.DDC classification:
  • 332.632
  • 332.63/2
LOC classification:
  • HG4650
Online resources: Summary: A comprehensive introduction to the key concepts of fixed income analytics The First Edition of Introduction to Fixed Income Analytics skillfully covered the fundamentals of this discipline and was the first book to feature Bloomberg screens in examples and illustrations. Since publication over eight years ago, the markets have experienced cathartic change. That's why authors Frank Fabozzi and Steven Mann have returned with a fully updated Second Edition. This reliable resource reflects current economic conditions, and offers additional chapters on relative value analysis, value-at-risk measures and information on instruments like TIPS (treasury inflation protected securities). Offers insights into value-at-risk, relative value measures, convertible bond analysis, and much more Includes updated charts and descriptions using Bloomberg screens Covers important analytical concepts used by portfolio managers Understanding fixed-income analytics is essential in today's dynamic financial environment. The Second Edition of Introduction to Fixed Income Analytics will help you build a solid foundation in this field.Summary: Introduction to Fixed Income Analytics: Relative Value Analysis, Risk Measures, and Valuation, Second Edition -- Contents -- Preface -- About the Authors -- Chapter 1: Time Value of Money -- Future Value of a Single Cash Flow -- Present Value of a Single Cash Flow -- Compounding/Discounting When Interest Is Paid More Than Annually -- Future and Present Values of an Ordinary Anuity -- Yield (Internal Rate of Return) -- Concepts Presented in this Chapter -- Appendix: Compounding And Discounting In Continuous Time -- Questions -- Chapter 2: Yield Curve Analysis -- A Bond Is a Package of Zero-Coupon Instruments -- Theoretical Spot Rates -- Forward Rates -- Dynamics of the Yield Curve -- Concepts Presented in this Chapter -- Questions -- Chapter 3: Day Count Conventions and Accrued Interest -- Day Count Conventions -- Computing the Acrued Interest -- Concepts Presented in this Chapter -- Questions -- Chapter 4: Valuation of Option-Free Bonds -- General Principles of Valuation -- Determining a Bond's Value -- The Price/Discount Rate Relationship -- Time Path of Bond -- Valuing a Zero-Coupon Bond -- Valuing a Bond Between Coupon Payments -- Traditional Approach to Valuation -- The Arbitrage-Free Valuation Approach -- Concepts Presented in this Chapter -- Questions -- Chapter 5: Yield Measures -- Sources of Return -- Traditional Yield Measures -- Yield to Call -- Yield to Put -- Yield to Worst -- Cash Flow Yield -- Portfolio Yield Measures -- Yield Measures for U.S. Treasury Bils -- Yield Spread Measures Relative to a Spot Rate Curve -- Concepts Presented in this Chapter -- Appendix: Mathematics of the Internal Rate of Return -- Questions -- Chapter 6: Analysis of Floating Rate Securities -- General Features of Floaters -- Valuing a Risky Floater -- Valuation of Floaters with Embedded Options -- Margin Measures -- Concepts Presented in this Chapter.PPN: PPN: 809087650Package identifier: Produktsigel: ZDB-26-MYL | ZDB-30-PAD | ZDB-30-PBE | ZDB-30-PQE
No physical items for this record
KIT – The University in the Helmholtz Association                         Home | Impressum | Datenschutz | Barrierefreiheit | KIT