Advanced fixed income analysis / (Record no. 308287)

000 -LEADER
fixed length control field 04698nam a2200397 i 4500
003 - CONTROL NUMBER IDENTIFIER
control field UTCC
005 - DATE AND TIME OF LATEST TRANSACTION
control field 20210121120634.0
007 - PHYSICAL DESCRIPTION FIXED FIELD--GENERAL INFORMATION
fixed length control field cr unu||||||||
008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION
fixed length control field 200606s2015 caua sb 001 0 eng d
020 ## - INTERNATIONAL STANDARD BOOK NUMBER
Canceled/invalid ISBN 9780080999388
040 ## - CATALOGING SOURCE
Original cataloging agency UMI
Language of cataloging eng
Description conventions rda
-- pn
Transcribing agency UMI
Modifying agency YDXCP
-- UIU
-- EBLCP
-- OCLCF
-- OPELS
-- IDB
-- VGM
-- MERUC
-- OCLCQ
-- U3W
-- WRM
-- RRP
-- OCLCQ
-- WYU
-- VT2
-- CEF
-- LQU
-- C6I
-- OCLCO
-- OCLCQ
-- UTCC
082 00 - DEWEY DECIMAL CLASSIFICATION NUMBER
Classification number 332.63234
Item number C552a
100 1# - MAIN ENTRY--PERSONAL NAME
Personal name Choudhry, Moorad,
Relator term author.
9 (RLIN) 181315
245 10 - TITLE STATEMENT
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
Extent 1 online resource :
Other physical details illustrations
336 ## - CONTENT TYPE
Content type term text
Source rdacontent
337 ## - MEDIA TYPE
Media type term computer
Source rdamedia
338 ## - CARRIER TYPE
Carrier type term online resource
Source rdacarrier
505 0# - FORMATTED CONTENTS NOTE
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
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
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
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)
Source of classification or shelving scheme
Koha item type E-book
998 ## - STAFF NAME
Cataloger Pensapak
Holdings
Withdrawn status Lost status Source of classification or shelving scheme Damaged status Not for loan Collection code Permanent Location Current Location Date acquired Full call number Date last seen Price effective from Koha item type
        Online Access E-Books (English) UTCC Library UTCC Library 06/06/2020 332.63234 C552a 06/06/2020 06/06/2020 E-book