Fixed income analytics
著者
書誌事項
Fixed income analytics
MIT Press, c1996
大学図書館所蔵 件 / 全24件
-
該当する所蔵館はありません
- すべての絞り込み条件を解除する
注記
"A collection of articles ... that appeared between 1983 and 1990 in Topics in money and securities markets, a series of occasional papers written by members of the Cross Markets Research group at Bankers Trust Company"--p.ix
Includes bibliographical references and index
内容説明・目次
内容説明
Fixed Income Analytics brings together twenty influential papers written by Kenneth Garbade with members of the Cross Markets Research Group of Bankers Trust Company between 1983 and 1990. Written by and for practitioners in the U.S. Treasury securities markets, it is one of the few, if not only, books on fixed income analysis that focuses on applicable techniques while remaining analytically rigorous.Divided into four parts, Fixed Income Analytics presents quantitative methodologies for the analysis of fixed income securities, such as U.S. Treasury bills, notes, bonds, and STRIPS that have no credit risk. Examined in part I are basic concepts of bond yield and bond duration; in part II, yield curves and the problem of assessing relative value; in part III, topics in fixed income portfolio management associated with change in the shape of the yield curve -- yield curve trades, butterfly trades, and hedging -- and in part IV, the characteristics and consequences of fluctuations in the shape of the yield curve.
目次
- Part 1 Yield and duration: invoice prices, cash flows and yields on treasury bonds
- zero coupon strips and custodial receipts
- duration - an introduction to the concept and its uses
- the effect of interest payments on the duration of a bond - implications for portfolio management and yield curve analysis
- rate of return and futurity of cash flow from a bond - are yield and duration good measures?
- bond convexity and its implications for immunization. Part 2 Yield curves and relative value: the structure of treasury yields - duration, coupon and liquidity effects
- coupon rolls
- treasury bills with special value
- comparing yields on zeros to yields on treasury bonds. Part 3 Bond portfolio management when the shape of the yield curve changes: yield spread trades - weighting, financing and applications
- hedging in the treasury bond market - implications of imperfect correlation and nonuniform volatility of yield changes for the size and an optimal hedge
- approximating the yield on a portfolio of bonds - value-weighted averages versus value of a basis point-weighted averages
- butterfly trades - a critical assessment of yield, convexity and risk
- managing yield curve risk - a generalized approach to immunization. Part 4 Modes of fluctuation of the yield curve: modes of fluctuation in bond yields - an analysis of principal components
- polynomial representations of the yield curve and its modes of fluctuation
- consistency between the shape of the yield curve and its modes of fluctuation
- pricing claims whose payments are contingent on interest rates
- time variation in the modes of fluctuation of the spot treasury yield curve.
「Nielsen BookData」 より
