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Advanced Fixed-Income Valuation Tools by Jegadeesh, Narasimhan; Tuckman, Bruce
by Jegadeesh, Narasimhan; Tuckman, Bruce | HC | Good
US $30,42
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- Compralo SubitoAdvanced Fixed-Income Valuation Tools by Jegadeesh, Narasimhan; Tuckman, Bruce
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Numero oggetto eBay:197129043755
Specifiche dell'oggetto
- Condizione
- Buone condizioni
- Note del venditore
- Binding
- Hardcover
- Weight
- 1 lbs
- Product Group
- Book
- IsTextBook
- No
- ISBN
- 9780471254195
Informazioni su questo prodotto
Product Identifiers
Publisher
Wiley & Sons, Incorporated, John
ISBN-10
0471254193
ISBN-13
9780471254195
eBay Product ID (ePID)
809213
Product Key Features
Book Title
Advanced Fixed-Income Valuation Tools
Number of Pages
432 Pages
Language
English
Publication Year
1999
Topic
Finance / General, Investments & Securities / General
Illustrator
Yes
Genre
Business & Economics
Book Series
Frontiers in Finance Ser.
Format
Hardcover
Dimensions
Item Height
1.3 in
Item Weight
26.5 Oz
Item Length
9.5 in
Item Width
6.3 in
Additional Product Features
Intended Audience
Trade
LCCN
99-030540
Dewey Edition
21
Series Volume Number
61
Dewey Decimal
332.63/2044
Table Of Content
ADVANCED FIXED-INCOME MATHEMATICS. Fixed-Income Subtleties and the Pricing of Long Bonds (N. Pearson). Convexity Bias and the Yield Curve (A. Ilmanen). Futures vs. Forward Prices: Implications for Swap Pricing and Derivatives Valuation (M. Grinblatt & N. Jegadeesh). TERM STRUCTURE MODELING. Discrete-Time Models of Bond Pricing (D. Backus, et al.). Stochastic Mean Models of the Term Structure of Interest Rates (P. Balduzzi, et al.). Interest Rate Modeling with Jump-Diffusion Processes (S. Das). OTHER RISK FACTORS. Some Elements of Rating-Based Credit Risk Modeling (D. Lando). Anatomy of Prepayments: The Salomon Brothers Prepayment Model (L. Hayre & A. Rajan). The Pricing and Hedging of Mortgage-Backed Securities: A Multivariate Density Estimation Approach (J. Boudoukh, et al.). The Muni Puzzle: Explanations and Implications for Investors (J. Chalmers). Models of Currency Option Pricing (G. Bakshi & Z. Chen). NUMERICAL VALUATION TECHNIQUES. Exploring the Relation between Discrete-Time Jump Processes and the Finite Difference Method (S. Heston & G. Zhou). Monte Carlo Methods for the Valuation of Interest Rate Securities (L. Andersen & P. Boyle). Index.
Synopsis
Presenting the most advanced thinking on the topic, this book covers the latest valuation models and techniques. It addresses essential topics such as the subtleties of fixed-income mathematics, new approaches to modeling term structures, and the applications of fixed-income valuation on credit risk, mortgages, munis, and indexed bonds., Normalerweise stehen festverzinsliche Wertpapiere für einen festen Cash Flow. In den vergangenen Jahren sind jedoch viele neue festverzinsliche Wertpapiere hinzugekommen, bei denen der erwartete Cash Flow vom jeweiligen Zinsniveau abhängt, was die Bewertung dieser Anlagen deutlich schwieriger macht. Dieses Buch behandelt die neuesten Erkenntnisse zur Bewertung festverzinslicher Wertpapiere. Diskutiert werden die Finessen mathematischer Verfahren, neue Ansätze zur Gestaltung von Laufzeitstrukturen und festverzinsliche Bewertungsverfahren im Zusammenhang mit Kreditrisiko, Hypotheken, Kommunalanleihen und indexierten Anleihen. "Advanced Fixed-Income Valuation Tools" behandelt nicht nur die theoretische Seite von Bewertungsmodellen und -verfahren, sondern auch ihre Anwendung in der Praxis. Mit Beiträgen von 24 Spitzenexperten führender Investmentbanken, Consultingunternehmen und Universitäten., In response to intense competition and higher market volatility, players in the fixed-income market now demand increasingly sophisticated valuation tools. Until recently, a basic understanding of duration and convexity or the ability to use simple, one-factor term structure models was enough to distinguish one from the crowd. Now, this knowledge is practically de rigueur. Cutting-edge players today need a deep understanding of how convexity and risk premia affect bond yields and returns; of how multi-factor term structure models can improve hedging performance; of how to improve the accuracy and efficiency of Monte Carlo analysis, etc. This book brings together contributions from twenty-four finance professionals and academics from top investment banks, consulting firms, and universities. Going well beyond the basics, Advanced Fixed-Income Valuation Tools brings the reader some of the most advanced thinking in the field. Topics covered in this book include: ∗ The effects of convexity and risk premia on bond yields, forward and future rates, and expected returns ∗ The similarities and differences among term structure models ∗ Multi-factor models and models with jumps ∗ Modeling credit risk ∗ Prepayment modeling and MBS pricing ∗ The Muni-Treasury spread ∗ Foreign currency options ∗ Efficient numerical valuation techniques Advanced Fixed-Income Valuation Tools arms the reader with the knowledge and tools needed to succeed in the competitive and rapidly evolving field of quantitative fixed-income investing and trading. "This is a thoughtfully organized compendium of a series of high-quality papers thatshould serve as an excellent resource describing cutting-edge research. Drs. Jegadeesh and Tuckman have put together a collection of first-rate authors considering timelyand useful areas of some of the frontiers of fixed-income valuation." -H. Gifford Fong President, Gifford Fong Associates President Editor, Financial Analysts Journal "This book has an excellent mix of well-written survey papers and cutting-edge research on fixed-income modeling techniques. The strong practical flavor of the papers makes this collection invaluable in understanding this dynamic area of research."-Francis Longstaff Professor of Finance, Anderson School at UCLA "Jegadeesh and Tuckman have done an excellent job of selecting papers that bridge the gap between the new developments in fixed-income models and the practitioners' needs. This collection of papers goes beyond the treatment of fixed-income analytics found in other textbooks. It will be useful for interest rate modelers and fixed-income specialists as well as for academics looking for a summary of the recent advances in the field." Yacine Ait-Sahalia Professor, Princeton University and Director, Bendheim Center in Finance "This excellent collection of articles ushers the reader into the forefront of advanced fixed-income valuation theory. Researchers will find the cutting-edge material stimulating and the abundance of contemporary references informative. Practitioners will particularly benefit from the attentive treatment of default risk and tax effects-important components of value that are seldom given due cognizance." -Andrew Kalotay, PhD Member, Fixed-Income Analysts Society Hall of Fame President, Andrew Kalotay Associates, Inc.
LC Classification Number
HG4650.J44 2000
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- c***m (426)- Feedback lasciato dall'acquirente.Ultimi 6 mesiAcquisto verificatoWOW!; I cannot believe this 3 Days to Hawaii! ; AAA+++; Excellent Service; Great Pricing; Fast Delivery-Faster Than Expected to Hawaii!; Shipped 05/05, Mon, Received 05/08, Thu to Hawaii using free shipping; USPS Ground Mail, Book in Excellent Condition--Better Than Described ; TLC Packaging; Excellent Seller Communication, Sends updates . Highly Recommended!, Thank you very much!The Internment of Japanese Americans During World War II (N° 146005407795)
- v***v (2069)- Feedback lasciato dall'acquirente.Mese scorsoAcquisto verificatoAlthough this book was not as described, with no picture of it in the listing, the seller communicated well and quickly gave me a full refund while letting me keep it. The minimal packaging left the book a bit vulnerable (typical for ThriftBooks), but it did arrive safely and timely. As usual, it’s hit or miss with this seller, but often times you can get great values, and their customer service is always very good. Many other sellers with millions of transactions don’t even communicate.
- 2***j (113)- Feedback lasciato dall'acquirente.Mese scorsoAcquisto verificatoI've ordered several items from this vendor now and they've always been what they were advertised as. This was no exception. Both discs were in great shape as well as their jewel cases. Delivery is good, packaging is simple but effective for what you're paying and I haven't had any get damaged. Will keep buying from this vendor because of the results so far and good prices, too.