Authors: Frank Fabozzi
ISBN-13: 9780071460736, ISBN-10: 007146073X
Format: Hardcover
Publisher: McGraw-Hill Companies, The
Date Published: December 2005
Edition: REV
Frank J. Fabozzi, Ph.D., CFA, is the Frederick Frank Adjunct Professor of Finance at Yale University's School of Management and editor of the Journal of Portfolio Management. One of the world's foremost authorities on fixed income securities and derivative instruments, Fabozzi is the bestselling author or editor of more than fifty books, including The Handbook of Fixed Income Securities.
Learn how to arrive at accurate, reliable valuations for every key fixed income securityevery time
The concepts and methodologies for evaluating fixed income securities have changed dramatically over the past decade. Fixed Income Mathematics, Fourth Edition, explains the numbers behind these changes and provides you with the knowledge you need to consistently control both the cost and risk of investing in debt.
Along with updated material on the new generation of asset-backed securities (ABS), updated sections on statistical techniques, and simulation and optimization models, this updated fourth edition features new chapters on:
Fixed Income Mathematics features material and analysis on yield measures for fixed rate bonds and floating rate bonds, key rate duration and yield curve curvature, cash flow characteristics of collateralized debt obligations, and much more. It is quite simply the necessary reference volume for fixed income portfolio managers and practitioners.
For nearly two decades, Frank Fabozzi's classic Fixed Income Mathematics has provided portfolio managers and other finance professionals with the industry's most comprehensive, easy-to-understand reference for making the most profitable fixed income investment decisions by dramatically improving the precision of the numbers that underlie those decisions. Now Fabozzi gives you the latest on the unprecedented number of new analytical tools and techniques that have recently been introduced to structured finance.
More than thirty accessible chapters cover fundamental and all-new aspects of the constantly evolving fixed income field, including:
To deal with the complexity of fixed income instruments, you have to embrace new valuation methodologies, analytical techniques, and frameworks for credit risk modeling. Fixed Income Mathematics arms you with these new tools, explaining how to implement them and successfully integrate them into existing investment programs.
Frank J. Fabozzi, Ph.D., CFA, is the Frederick Frank Adjunct Professor of Finance at Yale University's School of Management and editor of the Journal of Portfolio Management. One of the world's foremost authorities on fixed income securities and derivative instruments, Fabozzi is the bestselling author or editor of more than fifty books, including The Handbook of Fixed Income Securities.
Explains the latest concepts in the fixed income market, from the basic tenets of financial mathematics to new methodologies for evaluation of instruments such as securities with embedded options and mortgage-backed securities. Topics include measuring historical return performance, duration and yield curve risk, the time value of money, probability theory, and regression analysis. Contains worked examples. For fixed income participants. Annotation c. Book News, Inc., Portland, OR (booknews.com)
PART 1 TIME VALUE OF MONEY
Future Value 7
Present Value 19
Yield (Internal Rate of Return) 34
PART II BOND PRICING AND YIELD MEASURES FOR OPTION-FREE BONDS
The Price of a Bond 47
Conventional Yield Measures for Bonds 73
The Yield Curve, Spot Rate Curve, and Forward Rates 93
PART III RETURN ANALYSIS
Potential Sources of Dollar Return 115
Total Return 129
Measuring Historical Performance 153
PART IV PRICE VOLATILITY FOR OPTION-FREE BONDS
Price Volatility of Option-Free Bonds 165
Price Volatility Measures: PVBP and YV of a Price Change 178
Price Volatility Measures: Duration 187
Price Volatility Measures: Convexity 219
Duration and the Yield Curve 243
PART V ANALYZING BONDS WITH EMBEDDED OPTIONS
Call Options: Investment and Price 257
Characteristics Valuation and Price Volatility of Bonds with Embedded Options 274
PART VI ANALYZING MORTGAGE-BACKED SECURITIES
Cash flow Characteristics of Mortgages 303
Cash Flow Characteristics of Mortgage-Backed Securities 322
Analysis of Mortgage-Backed Securities 356
PART VII STATISTICAL AND OPTIMIZATION TECHNIQUES
Probability Theory 377
Simulation 403
Regression Analysis 419
Optimization Models 435
Index 443