The Resource Advanced fixed income analysis, Moorad Choudhry, Michele Lizzio

Advanced fixed income analysis, Moorad Choudhry, Michele Lizzio

Label
Advanced fixed income analysis
Title
Advanced fixed income analysis
Statement of responsibility
Moorad Choudhry, Michele Lizzio
Creator
Contributor
Author
Subject
Language
eng
Summary
Each 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
Cataloging source
UMI
Dewey number
332.63234
Illustrations
illustrations
Index
index present
LC call number
HG4651
Literary form
non fiction
Nature of contents
  • dictionaries
  • bibliography
Label
Advanced fixed income analysis, Moorad Choudhry, Michele Lizzio
Publication
Copyright
Bibliography note
Includes bibliographical references and index
http://library.link/vocab/branchCode
  • net
Carrier category
online resource
Carrier category code
cr
Carrier MARC source
rdacarrier
Content category
text
Content type code
txt
Content type MARC source
rdacontent
Contents
  • ""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""
  • ""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 ItÃ? Calculus""; ""2.2.1. Brownian Motion""; ""2.2.2. Stochastic Calculus""; ""2.2.3. Stochastic Integrals""; ""2.2.4. Generalised ItÃ?s Formula""; ""2.2.5. Information Structures""; ""2.3. Perfect Capital Markets""; ""2.3.1. Stochastic Price Processes""; ""2.3.2. Perfect Markets""
  • ""2.3.3. Uncertainty of Interest Rates""""2.3.4. Asset Price Processes""; ""Appendix A. An Introduction to Stochastic Processes""; ""Appendix B. ItÃ?s Lemma""; ""Appendix C. Derivation of ItÃ?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""
  • ""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""
  • ""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""
Control code
ocn922640858
Dimensions
unknown
Edition
Second edition
Extent
1 online resource
Form of item
online
Isbn
9780080999418
Media category
computer
Media MARC source
rdamedia
Media type code
c
Other physical details
illustrations
http://library.link/vocab/ext/overdrive/overdriveId
cl0500000651
http://library.link/vocab/recordID
.b34149053
Sound
unknown sound
Specific material designation
remote
System control number
  • (OCoLC)922640858
  • ebl0080999417

Library Locations

    • Deakin University Library - Geelong Waurn Ponds CampusBorrow it
      75 Pigdons Road, Waurn Ponds, Victoria, 3216, AU
      -38.195656 144.304955
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