Pietro Veronesi: Fixed Income Securities

Cover: 9780470109106 | Fixed Income Securities | Valuation, Risk, and Risk Management | Buch

Dekorationsartikel gehören nicht zum Leistungsumfang.

Sprache: Englisch

174,50 €*

inkl. MwSt.

Versandkostenfrei per Post / DHL

Aktuell nicht verfügbar

Kategorien:

Der Artikel ist nicht in deutscher Sprache verfasst.
Die Sprache der Produktbeschreibung und Details kann in Englisch angegeben sein. Sollten Sie Verständnisprobleme haben, wenden Sie sich gerne an uns.

Beschreibung

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.

Über den Autor

Pietro Veronesi is the Roman Family Professor of Finance at the Booth School of Business at The University of Chicago, where he teaches Masters and PhD-level courses in Finance. His research focuses on asset pricing, stock and bond valuation under Bayesian uncertainty and learning, and equilibrium models of return predictability. Dr. Veronesi is a research associate of the National Bureau of Economic Research and a research fellow of the center for Economic and Policy Research. His work has appeared in numerous publications, including the Journal of Political Economy, Journal of Finance, Journal of Financial Economics, and Review of Financial Studies.

Inhaltsverzeichnis

Preface.

Acknowledgments.

PART I: BASICS.

1 An Introduction to Fixed Income Markets.

2 Basics of Fixed Income Securities.

3 Basics of Interest Rate Risk Management.

4 Basic Refinements in Interest Rate Risk Management.

5 Interest Rate Derivatives: Forwards and Swaps.

6 Interest Rate Derivatives: Futures and Options.

7 Inflation, Monetary Policy, and the Federal Funds Rate.

8 Basics of Residential Mortgage Backed Securities.

PART II: TERM STRUCTURE MODELS: TREES.

9 One Step Binomial Trees.

10 Multi-Step Binomial Trees.

11 Risk Neutral Trees and Derivative Pricing.

12 American Options.

13 Monte Carlo Simulations on Trees.

PART III: TERM STRUCTURE MODELS: CONTINUOUS TIME.

14 Interest Rate Models in Continuous Time.

15 No Arbitrage and the Pricing of Interest Rate Securities.

16 Dynamic Hedging and Relative Value Trades.

17 Risk Neutral Pricing and Monte Carlo Simulations.

18 The Risk and Return of Interest Rate Securities.

19 No Arbitrage Models and Standard Derivatives.

20 The Market Model for Standard Derivatives.

21 Forward Risk Neutral Pricing and the LIBOR Market Model.

22 Multifactor Models.

References.

Index.

Details

Erscheinungsjahr:	2010
Fachbereich:	Betriebswirtschaft
Genre:	Wirtschaft
Rubrik:	Recht & Wirtschaft
Medium:	Buch
Inhalt:	848 S.
ISBN-13:	9780470109106
ISBN-10:	0470109106
Sprache:	Englisch
Einband:	Gebunden
Autor:	Veronesi, Pietro
Hersteller:	Wiley John Wiley & Sons
Maße:	260 x 187 x 34 mm
Von/Mit:	Pietro Veronesi
Erscheinungsdatum:	01.01.2010
Gewicht:	1,301 kg

Artikel-ID: 101451716