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Advanced fixed income analysis

Record Type:	Language materials, printed : Monograph/item
Title/Author:	Advanced fixed income analysis/ Moorad Choudhry, Michele Lizzio.
Author:	Choudhry, Moorad,
other author:	Lizzio, Michele,
Published:	San Diego, CA :Butterworth-Heinemann, : 2015.,
Description:	1 online resource :ill. :
Subject:	Bonds. -
Online resource:	https://www.sciencedirect.com/science/book/9780080999388
ISBN:	9780080999418 (electronic bk.)

Advanced fixed income analysis
Choudhry, Moorad,

Advanced fixed income analysis[electronic resource] /Moorad Choudhry, Michele Lizzio. - Second edition. - San Diego, CA :Butterworth-Heinemann,2015. - 1 online resource :ill.

Includes bibliographical references and index.

""Front Cover""; ""Advanced Fixed Income Analysis""; ""Copyright""; ""Dedication""; ""Contents""; ""About the Authors""; ""Preface""; ""Preface to the First Edition (published 2004)""; ""The dynamics of the yield curve""; ""Factors influencing the yield curve""; ""Approaches to modelling""; ""One-factor, two-factor and multi-factor models""; ""The short-term rate and the yield curve""; ""Arbitrage-free and equilibrium modelling""; ""Risk-neutral probabilities""; ""Mathematics primer""; ""Random variables and probability distributions""; ""Continuous random variables""; ""Expected values""

Each new chapter of the Second Edition covers an aspect of the fixed income market that has become relevant to investors but is not covered at an advanced level in existing textbooks. This is material that is pertinent to the investment decisions but is not freely available to those not originating the products. Professor Choudhry's method is to place ideas into contexts in order to keep them from becoming too theoretical. While the level of mathematical sophistication is both high and specialized, he includes a brief introduction to the key mathematical concepts. This is a book on the finan.

ISBN: 9780080999418 (electronic bk.)Subjects--Topical Terms:

564605
Bonds.
Index Terms--Genre/Form:

554714
Electronic books.

LC Class. No.: HG4651

Dewey Class. No.: 332.63234

Advanced fixed income analysis
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020 $a 9780080999388
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035 $a EL2020303
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041 0 $a eng
050 4 $a HG4651
082 0 4 $a 332.63234
100 1 $a Choudhry, Moorad, $e author. $3 1293042
245 1 0 $a Advanced fixed income analysis $h [electronic resource] / $c Moorad Choudhry, Michele Lizzio.
250 $a Second edition.
260 $a San Diego, CA : $b Butterworth-Heinemann, $c 2015.
300 $a 1 online resource : $b ill.
504 $a Includes bibliographical references and index.
505 0 $a ""Front Cover""; ""Advanced Fixed Income Analysis""; ""Copyright""; ""Dedication""; ""Contents""; ""About the Authors""; ""Preface""; ""Preface to the First Edition (published 2004)""; ""The dynamics of the yield curve""; ""Factors influencing the yield curve""; ""Approaches to modelling""; ""One-factor, two-factor and multi-factor models""; ""The short-term rate and the yield curve""; ""Arbitrage-free and equilibrium modelling""; ""Risk-neutral probabilities""; ""Mathematics primer""; ""Random variables and probability distributions""; ""Continuous random variables""; ""Expected values""
505 8 $a ""Regression analysis""""Stochastic processes""; ""Stochastic calculus""; ""Selected Bibliography""; ""Chapter 1: Asset-Swap Spreads and Relative Value Analysis""; ""1.1. Asset-Swap Spread""; ""1.2. Swap Spread for Richness and Cheapness Analysis""; ""1.3. Z-Spread Measure""; ""1.4. The Credit Default Swap Basis and Trading Issues""; ""1.5. Analysis Using Market Observation""; ""Appendix1. The Par Asset-Swap Spread""; ""Bibliography""; ""Chapter 2: The Dynamics of Asset Prices""; ""2.1. The Behaviour of Asset Prices""; ""2.1.1. Stochastic Processes""
505 8 $a ""2.1.2. Wiener Process or Brownian Motion""""2.1.3. The Martingale Property""; ""2.1.4. Generalised Wiener Process""; ""2.1.5. A Model of the Dynamics of Asset Prices""; ""2.1.6. The Distribution of the Risk-Free Interest Rate""; ""2.2. Stochastic Calculus Models: Brownian Motion and It's Calculus""; ""2.2.1. Brownian Motion""; ""2.2.2. Stochastic Calculus""; ""2.2.3. Stochastic Integrals""; ""2.2.4. Generalised It's Formula""; ""2.2.5. Information Structures""; ""2.3. Perfect Capital Markets""; ""2.3.1. Stochastic Price Processes""; ""2.3.2. Perfect Markets""
505 8 $a ""2.3.3. Uncertainty of Interest Rates""""2.3.4. Asset Price Processes""; ""Appendix A. An Introduction to Stochastic Processes""; ""Appendix B. It's Lemma""; ""Appendix C. Derivation of It's Formula""; ""Appendix D. The Integral""; ""Selected Bibliography and References""; ""Chapter 3: Interest-Rate Models I""; ""3.1. Introduction""; ""3.1.1. Bond Price and Yield""; ""3.1.2. Interest-Rate Models""; ""3.1.3. Introduction to Bond Analysis Using Spot Rates and Forward Rates in Continuous Time""; ""3.1.3.1. The Spot and Forward Rate Relationship""
505 8 $a ""3.1.3.2. Bond Prices as a Function of Spot and Forward Rates""""3.2. Interest-Rate Processes""; ""3.3. One-Factor Models""; ""3.3.1. The Vasicek Model""; ""3.3.2. The Merton Model""; ""3.3.3. The Cox-Ingersoll-Ross Model""; ""3.3.4. General Comment""; ""3.4. Arbitrage-Free Models""; ""3.4.1. The Ho and Lee Model""; ""3.4.2. The Hull-White Model""; ""3.4.3. The Black-Derman-Toy Model""; ""3.5. Fitting the Model""; ""3.6. Summary""; ""3.7. Website Models""; ""Appendix. Illustration of Forward Rate Structure When Spot Rate Structure Is Increasing""; ""Selected Bibliography and References""
520 $a Each new chapter of the Second Edition covers an aspect of the fixed income market that has become relevant to investors but is not covered at an advanced level in existing textbooks. This is material that is pertinent to the investment decisions but is not freely available to those not originating the products. Professor Choudhry's method is to place ideas into contexts in order to keep them from becoming too theoretical. While the level of mathematical sophistication is both high and specialized, he includes a brief introduction to the key mathematical concepts. This is a book on the finan.
588 0 $a Print version record.
650 0 $a Bonds. $3 564605
650 0 $a Investment analysis. $3 557689
655 4 $a Electronic books. $2 local $3 554714
700 1 $a Lizzio, Michele, $e author. $3 1293043
856 4 0 $u https://www.sciencedirect.com/science/book/9780080999388