Fixed Income Mathematics
The standard reference for fixed income portfolio managers Despite their conservative nature, fixed income instruments are among the investment industry's most complex and potentially risky investments. Fixed Income Mathematics is recognized worldwide as the essential professional reference for understanding the concepts and evaluative methodologies for bonds, mortgage-backed securities, asset-backed securities, and other fixed income instruments. This fully revised and updated fourth edition features all-new illustrations of the future and present value of money, with appendices on continuous compounding and new sections and chapters addressing risk measures, cash flow characteristics of credit-sensitive mortgage-backed and asset-backed securities, and more.
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Time Value of Money
Yield Internal Rate of Return
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Fixed Income Mathematics: Analytical & Statistical Techniques
Frank J. Fabozzi
No preview available - 1997
annual interest rate assuming basis point bond equivalent bond price volatility bond's call option price call-adjusted duration callable bond cash flow change in price CM CM CM convexity coupon bond selling coupon interest payments coupon rate delta dollar duration dollar price change financial instrument formula future value horizon return Illustration interest on interest interest plus interest interest rate volatility interest-on-interest component investment horizon investor issuer Macaulay duration market yield maturity value modified duration monthly mortgage payment mortgage balance mortgage pass-through security noncallable bond number of days Number of periods option-free bond ordinary annuity percentage price change Periodic interest rate portfolio manager prepayment rate present value price value price/yield relationship projected cash flow put option reinvestment rate required yield six months strike price Taylor series total dollar return total future amount underlying bond yield changes yield curve yield to call yield to maturity zero-coupon bond