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Fixed Income Mathematics Analytical and Statistical Techniques 5th Edition by Frank J Fabozzi, Francesco Fabozzi ISBN 9781264258277 1264258275

Name: Fixed Income Mathematics Analytical and Statistical Techniques 5th Edition by Frank J Fabozzi, Francesco Fabozzi ISBN 9781264258277 1264258275
SKU: EB-46111794
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Fixed Income Mathematics: Analytical and Statistical Techniques, 5th Edition Frank J. Fabozzi Digital Instant Download

Author(s): Frank J. Fabozzi

ISBN(s): 9781264258277, 1264258275

Edition: 5th

File Details: PDF, 39.54 MB

Year: 2022

Language: English

SKU: EB-46111794 Category: Uncategorized Tag: Frank J. Fabozzi

Description

Fixed Income Mathematics Analytical and Statistical Techniques 5th Edition by Frank J Fabozzi, Francesco Fabozzi – Ebook PDF Instant Download/Delivery: 9781264258277 ,1264258275
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Product details:
ISBN 10: 1264258275
ISBN 13: 9781264258277
Author: Frank J Fabozzi, Francesco Fabozzi

The standard reference for fixed income portfolio managers—fully updated with new analytical frameworks Fixed Income Mathematics is known around the world as the leading guide to understanding the concepts, valuation models for bonds with embedded option, mortgage-backed securities, asset-backed securities, and other fixed income instruments, and portfolio analytics. Fixed Income Mathematics begins with basic concepts of the mathematics of finance, then systematically builds on them to reveal state-of-the-art methodologies for evaluating them and managing fixed-income portfolios. Concepts are illustrated with numerical examples and graphs, and you need only a basic knowledge of elementary algebra to understand them. This new edition includes several entirely new chapters―Risk-Adjusted Returns, Empirical Duration, Analysis of Floating-Rate Securities, Holdings-Based Return Attribution Analysis, Returns-Based Style Attribution Analysis, Measuring Bond Liquidity, and Machine Learning―and provides substantially revised chapters on: Interest rate modeling Probability theory Optimization models and applications to bond portfolio management Historical return measures Measuring historical return volatility The concepts and methodologies for managing fixed income portfolios has improved dramatically over the past 15 years. This edition explains these changes and provides the knowledge you need to value fixed-income securities and measure the various types of risks associated with individual securities and portfolios.

Fixed Income Mathematics Analytical and Statistical Techniques 5th Edition Table of contents:

Chapter 1: Introduction

Part One: Time Value of Money

Chapter 2: Future Value

Chapter 3: Present Value

Chapter 4: Yield (Internal Rate of Return)

Part Two: Bond Pricing for Option-Free Bonds and Conventional Yield Measures

Chapter 5: The Price of a Bond

Chapter 6: Bond Yield Measures

Chapter 7: The Yield Curve, Spot-Rate Curve, and Forward Rates

Part Three: Return Analysis and Return Measures

Chapter 8: Potential Sources of Dollar Return

Chapter 9: Total Return

Chapter 10: Historical Return Measures

Chapter 11: Risk-Adjusted Returns/Reward-Risk Ratios

Part Four: Price Volatility for Option-Free Bonds

Chapter 12: Price Volatility Properties of Option-Free Bonds

Chapter 13: Duration as a Measure of Price Volatility

Chapter 14: Combining Duration and Convexity to Measure Price Volatility

Chapter 15: Duration and the Yield Curve

Chapter 16: Empirical Duration

Part Five: Historical Return and Yield Volatility

Chapter 17: Measuring Historical Return Volatility

Chapter 18: Measuring and Forecasting Yield Volatility

Part Six: Analyzing Bonds with Embedded Options

Chapter 19: Interest-Rate Modeling

Chapter 20: Call Options: Investment and Price Characteristics

Chapter 21: Valuation and Price Volatility of Bonds with Embedded Options

Chapter 22: Analysis of Floating-Rate Securities

Part Seven: Credit and Liquidity Concepts

Chapter 23: Credit Risk Concepts and Measures

Chapter 24: Measuring Bond Liquidity

Part Eight: Analyzing Securitized Products

Chapter 25: Cash-Flow Characteristics of Fixed-Rate Amortizing Mortgage Loans

Chapter 26: Cash-Flow Characteristics of Mortgage-Backed Securities

Chapter 27: Analysis of Agency Mortgage-Backed Securities

Part Nine: Performance Analysis

Chapter 28: Holdings-Based Performance Attribution Analysis

Chapter 29: Returns-Based Style Attribution Analysis

Part Ten: Statistical and Optimization Techniques

Chapter 30: Probability Distributions and Statistics

Chapter 31: Regression and Principal Component Analysis

Chapter 32: Multifactor Risk Models and Their Application to Portfolio Construction

Chapter 33: Monte Carlo Simulation

Chapter 34: Optimization Models

Chapter 35: Machine Learning

Index

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Tags: Frank J Fabozzi, Francesco Fabozzi, Fixed Income Mathematics, Analytical, Statistical Techniques