Produktbild: Interest Rate, Term Structure, and Valuation Modeling
Band 5

Interest Rate, Term Structure, and Valuation Modeling

Aus der Reihe Frank J. Fabozzi Series

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Beschreibung

Produktdetails

Einband

Gebundene Ausgabe

Erscheinungsdatum

01.10.2002

Herausgeber

Frank J. Fabozzi

Verlag

John Wiley & Sons

Seitenzahl

514

Maße (L/B/H)

23,5/15,7/3,5 cm

Gewicht

1019 g

Auflage

1. Auflage

Sprache

Englisch

ISBN

978-0-471-22094-7

Beschreibung

Produktdetails

Einband

Gebundene Ausgabe

Erscheinungsdatum

01.10.2002

Herausgeber

Frank J. Fabozzi

Verlag

John Wiley & Sons

Seitenzahl

514

Maße (L/B/H)

23,5/15,7/3,5 cm

Gewicht

1019 g

Auflage

1. Auflage

Sprache

Englisch

ISBN

978-0-471-22094-7

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  • Produktbild: Interest Rate, Term Structure, and Valuation Modeling
  • Preface.

    Contributing Authors.

    SECTION ONE: Interest Rate and Term Structure Modeling.

    CHAPTER 1: Interest Rate Models (Oren Cheyette).

    CHAPTER 2: The Four Faces of an Interest Rate Model (Peter Fitton and James F. McNatt).

    CHAPTER 3: A Review of No Arbitrage Interest Rate Models (Gerald W. Buetow, Frank J. Fabozzi, and James Sochacki).

    CHAPTER 4: An Introductory Guide to Analyzing and Interpreting the Yield Curve (Moorad Choudhry).

    CHAPTER 5: Term Structure Modeling (David Audley, Richard Chin, and Shrikant Ramamurthy).

    CHAPTER 6: A Practical Guide to Swap Curve Construction (Uri Ron).

    CHAPTER 7: Fitting the Term Structure of Interest Rates Using the Cubic Spline Methodology (Rod Pienaar and Moorad Choudhry).

    CHAPTER 8: Measuring and Forecasting Yield Volatility (Frank J. Fabozzi and Wai Lee).

    SECTION TWO: Modeling Factor Risk.

    CHAPTER 9: Term Structure Factor Models (Robert C. Kuberek).

    CHAPTER 10: Multi-Factor Risk Models and Their Applications (Lev Dynkin and Jay Hyman).

    CHAPTER 11: Measuring Plausibility of Hypothetical Interest Rate Shocks (Bennett W. Golub and Leo M. Tilman).

    SECTION THREE: Valuation Models.

    CHAPTER 12: Understanding the Building Blocks for OAS Models (Philip O. Obazee).

    CHAPTER 13: Yield Curves and Valuation Lattices: A Primer (Frank J. Fabozzi, Andrew Kalotay, and Michael Dorigan).

    CHAPTER 14: Using the Lattice Model to Value Bonds with Embedded Options, Floaters, Options, and Caps/Floors (Frank J. Fabozzi, Andrew Kalotay, and Michael Dorigan).

    CHAPTER 15: Using the Lattice Model to Value Forward Start Swaps and Swaptions (Gerald W. Buetow, Jr. and Frank J. Fabozzi).

    CHAPTER 16: Valuing Path-Dependent Securities (C. Douglas Howard).

    CHAPTER 17: Monte Carlo Simulation/OAS Approach to Valuing Residential Real Estate-Backed Securities (Frank J. Fabozzi, Scott F. Richard,and David S. Horowitz).

    CHAPTER 18: Mortgage Pricing on Low-Dimensional Grids (Alexander Levin).

    CHAPTER 19: The Effect of Mean Reversion on the Valuation of Embedded Options and OAS (David Audley and Richard Chin).

    INDEX.