000 04698nam a2200397 i 4500
999 _c308287
_d308287
003 UTCC
005 20210121120634.0
007 cr unu||||||||
008 200606s2015 caua sb 001 0 eng d
020 _z9780080999388
040 _aUMI
_beng
_erda
_epn
_cUMI
_dYDXCP
_dUIU
_dEBLCP
_dOCLCF
_dOPELS
_dIDB
_dVGM
_dMERUC
_dOCLCQ
_dU3W
_dWRM
_dRRP
_dOCLCQ
_dWYU
_dVT2
_dCEF
_dLQU
_dC6I
_dOCLCO
_dOCLCQ
_dUTCC
082 0 0 _a332.63234
_bC552a
100 1 _aChoudhry, Moorad,
_eauthor.
_9181315
245 1 0 _aAdvanced fixed income analysis /
_cMoorad Choudhry, Michele Lizzio.
264 1 _aSan Diego, CA :
_bButterworth-Heinemann,
_c2015.
300 _a1 online resource :
_billustrations
336 _atxt
_2rdacontent
337 _ac
_2rdamedia
338 _acr
_2rdacarrier
505 0 _a""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 _a""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 _a""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 _a""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 _a""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 _aEach 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 _aBonds.
_965598
650 0 _aInvestment analysis.
_9118465
700 1 _aLizzio, Michele,
_eauthor.
_9300913
850 _aUTCC
856 7 8 _uhttps://www.sciencedirect.com/science/book/9780080999388
_zeBook-ScienceDirect
942 _2ddc
_cEBK
998 _cPP