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04698nam a2200397 i 4500 |
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UTCC |
| 005 - DATE AND TIME OF LATEST TRANSACTION |
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20210121120634.0 |
| 007 - PHYSICAL DESCRIPTION FIXED FIELD--GENERAL INFORMATION |
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200606s2015 caua sb 001 0 eng d |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
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| Canceled/invalid ISBN |
9780080999388 |
| 040 ## - CATALOGING SOURCE |
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| Original cataloging agency |
UMI |
| Language of cataloging |
eng |
| Description conventions |
rda |
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pn |
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UMI |
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YDXCP |
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UIU |
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OCLCF |
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OPELS |
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IDB |
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MERUC |
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OCLCQ |
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U3W |
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OCLCQ |
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WYU |
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VT2 |
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C6I |
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OCLCO |
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OCLCQ |
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UTCC |
| 082 00 - DEWEY DECIMAL CLASSIFICATION NUMBER |
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| Classification number |
332.63234 |
| Item number |
C552a |
| 100 1# - MAIN ENTRY--PERSONAL NAME |
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| Personal name |
Choudhry, Moorad, |
| Relator term |
author. |
| 9 (RLIN) |
181315 |
| 245 10 - TITLE STATEMENT |
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| Title |
Advanced fixed income analysis / |
| Statement of responsibility, etc. |
Moorad Choudhry, Michele Lizzio. |
| 264 #1 - PRODUCTION, PUBLICATION, DISTRIBUTION, MANUFACTURE, AND COPYRIGHT NOTICE |
|---|
| Place of production, publication, distribution, manufacture |
San Diego, CA : |
| Name of producer, publisher, distributor, manufacturer |
Butterworth-Heinemann, |
| Date of production, publication, distribution, manufacture, or copyright notice |
2015. |
| 300 ## - PHYSICAL DESCRIPTION |
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| Extent |
1 online resource : |
| Other physical details |
illustrations |
| 336 ## - CONTENT TYPE |
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| Content type term |
text |
| Source |
rdacontent |
| 337 ## - MEDIA TYPE |
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| Media type term |
computer |
| Source |
rdamedia |
| 338 ## - CARRIER TYPE |
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| Carrier type term |
online resource |
| Source |
rdacarrier |
| 505 0# - FORMATTED CONTENTS NOTE |
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| Formatted contents note |
""Front Cover""; ""Advanced Fixed Income Analysis""; ""Copyright""; ""Dedication""; ""Contents""; ""About the Authors""; ""Preface""; ""Preface to the First Edition (published 2004)""; ""The dynamics of the yield curve""; ""Factors influencing the yield curve""; ""Approaches to modelling""; ""One-factor, two-factor and multi-factor models""; ""The short-term rate and the yield curve""; ""Arbitrage-free and equilibrium modelling""; ""Risk-neutral probabilities""; ""Mathematics primer""; ""Random variables and probability distributions""; ""Continuous random variables""; ""Expected values"" |
| 505 8# - FORMATTED CONTENTS NOTE |
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| Formatted contents note |
""Regression analysis""""Stochastic processes""; ""Stochastic calculus""; ""Selected Bibliography""; ""Chapter 1: Asset-Swap Spreads and Relative Value Analysis""; ""1.1. Asset-Swap Spread""; ""1.2. Swap Spread for Richness and Cheapness Analysis""; ""1.3. Z-Spread Measure""; ""1.4. The Credit Default Swap Basis and Trading Issues""; ""1.5. Analysis Using Market Observation""; ""Appendix1. The Par Asset-Swap Spread""; ""Bibliography""; ""Chapter 2: The Dynamics of Asset Prices""; ""2.1. The Behaviour of Asset Prices""; ""2.1.1. Stochastic Processes"" |
| 505 8# - FORMATTED CONTENTS NOTE |
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| Formatted contents note |
""2.1.2. Wiener Process or Brownian Motion""""2.1.3. The Martingale Property""; ""2.1.4. Generalised Wiener Process""; ""2.1.5. A Model of the Dynamics of Asset Prices""; ""2.1.6. The Distribution of the Risk-Free Interest Rate""; ""2.2. Stochastic Calculus Models: Brownian Motion and It�A? Calculus""; ""2.2.1. Brownian Motion""; ""2.2.2. Stochastic Calculus""; ""2.2.3. Stochastic Integrals""; ""2.2.4. Generalised It�A?s Formula""; ""2.2.5. Information Structures""; ""2.3. Perfect Capital Markets""; ""2.3.1. Stochastic Price Processes""; ""2.3.2. Perfect Markets"" |
| 505 8# - FORMATTED CONTENTS NOTE |
|---|
| Formatted contents note |
""2.3.3. Uncertainty of Interest Rates""""2.3.4. Asset Price Processes""; ""Appendix A. An Introduction to Stochastic Processes""; ""Appendix B. It�A?s Lemma""; ""Appendix C. Derivation of It�A?s Formula""; ""Appendix D. The Integral""; ""Selected Bibliography and References""; ""Chapter 3: Interest-Rate Models I""; ""3.1. Introduction""; ""3.1.1. Bond Price and Yield""; ""3.1.2. Interest-Rate Models""; ""3.1.3. Introduction to Bond Analysis Using Spot Rates and Forward Rates in Continuous Time""; ""3.1.3.1. The Spot and Forward Rate Relationship"" |
| 505 8# - FORMATTED CONTENTS NOTE |
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| Formatted contents note |
""3.1.3.2. Bond Prices as a Function of Spot and Forward Rates""""3.2. Interest-Rate Processes""; ""3.3. One-Factor Models""; ""3.3.1. The Vasicek Model""; ""3.3.2. The Merton Model""; ""3.3.3. The Cox-Ingersoll-Ross Model""; ""3.3.4. General Comment""; ""3.4. Arbitrage-Free Models""; ""3.4.1. The Ho and Lee Model""; ""3.4.2. The Hull-White Model""; ""3.4.3. The Black-Derman-Toy Model""; ""3.5. Fitting the Model""; ""3.6. Summary""; ""3.7. Website Models""; ""Appendix. Illustration of Forward Rate Structure When Spot Rate Structure Is Increasing""; ""Selected Bibliography and References"" |
| 520 ## - SUMMARY, ETC. |
|---|
| Summary, etc. |
Each new chapter of the Second Edition covers an aspect of the fixed income market that has become relevant to investors but is not covered at an advanced level in existing textbooks. This is material that is pertinent to the investment decisions but is not freely available to those not originating the products. Professor Choudhry's method is to place ideas into contexts in order to keep them from becoming too theoretical. While the level of mathematical sophistication is both high and specialized, he includes a brief introduction to the key mathematical concepts. This is a book on the finan. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name entry element |
Bonds. |
| 9 (RLIN) |
65598 |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name entry element |
Investment analysis. |
| 9 (RLIN) |
118465 |
| 700 1# - ADDED ENTRY--PERSONAL NAME |
|---|
| Personal name |
Lizzio, Michele, |
| Relator term |
author. |
| 9 (RLIN) |
300913 |
| 850 ## - HOLDING INSTITUTION |
|---|
| Holding institution |
UTCC |
| 856 78 - ELECTRONIC LOCATION AND ACCESS |
|---|
| Uniform Resource Identifier |
<a href="https://www.sciencedirect.com/science/book/9780080999388">https://www.sciencedirect.com/science/book/9780080999388</a> |
| Public note |
eBook-ScienceDirect |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) |
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| Source of classification or shelving scheme |
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| Koha item type |
E-book |
| 998 ## - STAFF NAME |
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| Cataloger |
Pensapak |