Investing - General & Miscellaneous, Business Skills - General & Miscellaneous, Investing & Finance - General & Miscellaneous, Mathematics - Applied, Securities - General & Miscellaneous
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Overview
As interest rate fluctuations in the fixed income markets have become increasingly volatile, and fixed income instruments themselves have grown more complex, bond market participants have had to revise and expand upon the traditional analytical tools used to value bonds and assess price/yield behavior. In this environment, where fewer bonds are held to maturity, measures such as yield-to-maturity and yield-to-call have become increasingly irrelevant in portfolio management. New terms such as duration, effective duration, convexity, negative convexity, option-adjusted spread, total return, PSA, CPR, spot and forward rates, and option cost have come into use, the result of many new analytical frameworks and methodologies that have been developed and are now employed to evaluate fixed income securities and portfolio strategies. Fixed Income Mathematics, Revised Edition, has been written to provide participants in the fixed income market with an understanding of the underlying mathematical concepts and tools behind these analytical frameworks and methodologies, as well as their applications for evaluating alternative fixed income securities and portfolio strategies. It is designed as a working reference, and provides a comprehensive and didactic presentation of each concept covered and its use in fixed income portfolio management. This new and completely revised edition reflects the advances in fixed income analysis. Beginning with the basic foundations of the mathematics of finance, author Frank J. Fabozzi thoroughly explains how to calculate the future value of an investment, present value of an expected cash flow and yield. In Part II, he extends present value analysis to bonds, showing how their price is determined, with expanded coverage on day count conventions, accrued interest, the yield on floating-rate notes, portfolio yield measures and their limitations and scenario analysis. To implement effective portfolio trading and risk management strategies it isBook Details
Published
February 1, 1993
Publisher
Irwin Professional Publishing
Pages
458
Format
Hardcover
ISBN
9781557384232