Description
The standard reference for fixed income portfolio managers--fully updated with new analytical frameworks
Fixed Income Mathematics is known around the world as the leading guide to understanding the concepts, valuation models for bonds with embedded option, mortgage-backed securities, asset-backed securities, and other fixed income instruments, and portfolio analytics.
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 several 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, 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
Author: Frank J. Cfa Fabozzi, Francesco Fabozzi
Publisher: McGraw-Hill Companies
Published: 09/05/2022
Pages: 624
Binding Type: Hardcover
Weight: 1.95lbs
Size: 9.10h x 5.80w x 1.30d
ISBN13: 9781264258277
ISBN10: 1264258275
BISAC Categories:
- Business & Economics | Investments & Securities | Bonds
- Business & Economics | Investments & Securities | Mutual Funds
- Business & Economics | Investments & Securities | Portfolio Management