Fixed Income Mathematics, Fifth Edition: Analytical and Statistical Techniques

di Frank Fabozzi (Autore)

Francesco Fabozzi (Autore)

McGraw-Hill Education, 2022

The brand-new edition of this classic guide for high-level investors covers the latest tools and techniques for dealing with all aspects of fixed-income portfolio management Fixed Income Mathematics is known around the world as the leading guide to understanding the concepts and evaluative methodologies for bonds, mortgage-backed securities, asset-backed securities, and other fixed income instruments-and the fifth edition gets you up to date on the newest analytical frameworks. Fixed Income Mathematics begins with basic concepts of the mathematics of finance, then systematically builds on them to reveal state-of-the-art methodologies for evaluating them and managing fixed-income portfolios. Concepts are illustrated with numerical examples and graphs, and you need only a basic knowledge of elementary algebra to understand them. This new edition includes numerous entirely new chapters-Risk-Adjusted Returns, Empirical Duration, Analysis of Floating-Rate Securities, Holdings-Based Return Attribution Analysis, Returns-Based Style Attribution Analysis, Measuring Bond Liquidity, Descriptive Measures, and Machine Learning-and provides substantially revised chapters on: Interest rate modeling Probability theory Optimization models and applications to bond portfolio management Historical return measures Measuring historical return volatility The concepts and methodologies for evaluating fixed income securities have changed dramatically over the past 15 years. This edition explains the numbers behind these changes and provides the knowledge you need to consistently control both the cost and risk of investing in debt.

• Autore: Frank Fabozzi, Francesco Fabozzi
• Editore: McGraw-Hill Education
• Anno: 2022
• Rilegatura: Hardback
• Pagine: 624 p.
• Peso: 887 gr.
• EAN: 9781264258277

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