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The deep understanding of the forces that affect the valuation,
risk and return of fixed income securities and their derivatives
has never been so important. As the world of fixed income
securities becomes more complex, anybody who studies fixed income
securities must be exposed more directly to this complexity. This
book provides a thorough discussion of these complex securities,
the forces affecting their prices, their risks, and of the
appropriate risk management practices. "Fixed Income Securities,"
however, provides a methodology, and not a shopping list. It
provides instead examples and methodologies that can be applied
quite universally, once the basic concepts have been understood.
A comprehensive guide to the current theories and methodologies
intrinsic to fixed-income securities Written by well-known experts
from a cross section of academia and finance, Handbook of
Fixed-Income Securities features a compilation of the most
up-to-date fixed-income securities techniques and methods. The book
presents crucial topics of fixed income in an accessible and
logical format. Emphasizing empirical research and real-life
applications, the book explores a wide range of topics from the
risk and return of fixed-income investments, to the impact of
monetary policy on interest rates, to the post-crisis new
regulatory landscape. Well organized to cover critical topics in
fixed income, Handbook of Fixed-Income Securities is divided into
eight main sections that feature: An introduction to fixed-income
markets such as Treasury bonds, inflation-protected securities,
money markets, mortgage-backed securities, and the basic analytics
that characterize them Monetary policy and fixed-income markets,
which highlight the recent empirical evidence on the central banks
influence on interest rates, including the recent quantitative
easing experiments Interest rate risk measurement and management
with a special focus on the most recent techniques and
methodologies for asset-liability management under regulatory
constraints The predictability of bond returns with a critical
discussion of the empirical evidence on time-varying bond risk
premia, both in the United States and abroad, and their sources,
such as liquidity and volatility Advanced topics, with a focus on
the most recent research on term structure models and econometrics,
the dynamics of bond illiquidity, and the puzzling dynamics of
stocks and bonds Derivatives markets, including a detailed
discussion of the new regulatory landscape after the financial
crisis and an introduction to no-arbitrage derivatives pricing
Further topics on derivatives pricing that cover modern valuation
techniques, such as Monte Carlo simulations, volatility surfaces,
and no-arbitrage pricing with regulatory constraints Corporate and
sovereign bonds with a detailed discussion of the tools required to
analyze default risk, the relevant empirical evidence, and a
special focus on the recent sovereign crises A complete reference
for practitioners in the fields of finance, business, applied
statistics, econometrics, and engineering, Handbook of Fixed-Income
Securities is also a useful supplementary textbook for graduate and
MBA-level courses on fixed-income securities, risk management,
volatility, bonds, derivatives, and financial markets. Pietro
Veronesi, PhD, is Roman Family Professor of Finance at the
University of Chicago Booth School of Business, where he teaches
Masters and PhD-level courses in fixed income, risk management, and
asset pricing. Published in leading academic journals and honored
by numerous awards, his research focuses on stock and bond
valuation, return predictability, bubbles and crashes, and the
relation between asset prices and government policies.
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