Cargando…
The advanced fixed income and derivatives management guide /
"A highly-detailed, practical analysis of fixed income management The Advanced Fixed Income and Derivatives Management Guide provides a completely novel framework for analysis of fixed income securities and portfolio management, with over 700 useful equations. The most detailed analysis of infl...
| Clasificación: | Libro Electrónico |
|---|---|
| Autor principal: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Hoboken :
Wiley,
2015.
|
| Temas: | |
| Acceso en línea: | Texto completo |
Tabla de Contenidos:
- Cover; Title Page; Copyright; Contents; List of Tables; List of Figures; Abbreviations; Notation; Preface; Acknowledgement; Foreword; About the Author; Introduction; Chapter 1 Review of Market Analytics ; 1.1 Bond Valuation; 1.2 Simple Bond Analytics; 1.3 Portfolio Analytics; 1.4 Key Rate Durations; Chapter 2 Term Structure of Rates; 2.1 Linear and Non-linear Space; 2.2 Basis Functions; 2.3 Decay Coefficient; 2.4 Forward Rates; 2.5 Par Curve; 2.6 Application to the US Yield Curve; 2.7 Historical Yield Curve Components; 2.8 Significance of the Term Structure Components.
- 2.9 Estimating the Value of Decay CoefficientChapter 3 Comparison of Basis Functions; 3.1 Polynomial Basis Functions; 3.2 Exponential Basis Functions; 3.3 Orthogonal Basis Functions; 3.4 Key Basis Functions; 3.5 Transformation of Basis Functions; 3.6 Comparison with the Principal Components Analysis; 3.7 Mean Reversion; 3.8 Historical Tables of Basis Functions; Chapter 4 Risk Measurement; 4.1 Interest Rate Risks; 4.2 Zero Coupon Bonds Examples; 4.3 Eurodollar Futures Contracts Examples; 4.4 Conventional Duration of a Portfolio; 4.5 Risks and Basis Functions.
- 4.6 Application to Key Rate Duration4.7 Risk Measurement of a Treasury Index; Chapter 5 Performance Attribution; 5.1 Curve Performance; 5.2 Yield Performance; 5.3 Security Performance; 5.4 Portfolio Performance; 5.5 Aggregation of Contribution to Performance; Chapter 6 Libor and Swaps; 6.1 Term Structure of Libor; 6.2 Adjustment Table for Rates; 6.3 Risk Measurement and Performance Attribution of Swaps; 6.4 Floating Libor Valuation and Risks; 6.5 Repo and Financing Rate; 6.6 Structural Problem of Swaps; Chapter 7 Trading; 7.1 Liquidity Management; 7.2 Forward Pricing; 7.3 Curve Trading.
- 7.4 Synthetic Securities7.5 Real Time Trading; Chapter 8 Linear Optimization and Portfolio Replication; 8.1 Portfolio Optimization Example; 8.2 Conversion to and from Conventional KRD; 8.3 KRD and Term Structure Hedging; Chapter 9 Yield Volatility; 9.1 Price Function of Yield Volatility; 9.2 Term Structure of Yield Volatility; 9.3 Volatility Adjustment Table; 9.4 Forward and Instantaneous Volatility; Chapter 10 Convexity and Long Rates; 10.1 Theorem: Long Rates Can Never Change; 10.2 Convexity Adjusted TSIR; 10.3 Application to Convexity; 10.4 Convexity Bias of Eurodollar Futures.
- Chapter 11 Real Rates and Inflation Expectations11.1 Term Structure of Real Rates; 11.2 Theorem: Real Rates Can't Have Log-normal Distribution; 11.3 Inflation Linked (IL) Bonds; 11.4 Seasonal Adjustments to Inflation; 11.5 Inflation Swaps; Chapter 12 Credit Spreads; 12.1 Equilibrium Credit Spread; 12.2 Term Structure of Credit Spreads; 12.3 Risk Measurement of Credit Securities; 12.4 Credit Risks Example; 12.5 Floating Rate Credit Securities; 12.6 TSCS Examples; 12.7 Relative Values of Credit Securities; 12.8 Performance Attribution of Credit Securities; 12.9 Term Structure of Agencies.