Fixed income and interest rate derivative analysis /

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Fixed Income and Interest Rate Derivative Analysis gives a clear and accessible approach to the analytical techniques of debt instrument valuation. Without using complicated mathematical abstractions, this text shows that the fundamentals of fixed income and interest rate derivate analysis can be ea...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Britten-Jones, Mark, 1963-
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Oxford ; Boston : Butterworth-Heinemann, 1998.
Temas:
Fixed-income securities.
Derivative securities.
Cash flow.
Interest rate swaps.
Valeurs mobilières à revenus fixes.
Instruments dérivés (Finances)
Marge brute d'autofinancement.
Échanges de taux d'intérêt.
BUSINESS & ECONOMICS > Investments & Securities > General.
Cash flow
Derivative securities
Fixed-income securities
Interest rate swaps
Acceso en línea:Texto completo (Requiere registro previo con correo institucional)
Tabla de Contenidos:
  • Preface; Acknowledgements; Fixed cash flows
  • Valuation of fixed cash flows with perfect replication; Imperfect replication: immunization and duration; Simple random cash flows
  • Forward rates, T-bill futures, and quasi-arbitrage; The eurodollar market and simple interest rate swaps; General rate-sensitive cash flows
  • No-arbitrage and risk-neutral pricing; State prices, forward induction, and tree-fitting; The Black-Derman-Toy Model; Convexity; Callable and convertible bonds; Credit risk; Continuous-time finance; Index.

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