Fabozzi, Frank J. <br/><br/>
Fixed income mathematics :  analytical & statistical techniques / 
Frank J. Fabozzi 
 - 4th ed.. 
 - New York :  McGraw-Hill,  2006 
 - xix, 649 p. ;  23 cm. 
<br/><br/>Includes index 
<br/><br/>Overview of fixed income securities and derivatives (new) -- Future value -- Present value -- Yield (internal rate of return) -- The price of a bond -- Conventional yield and spread measures for bonds -- The yield curve, spot rate curve, and forward rates -- Potential sources of dollar return -- Total return -- Measuring historical performance -- Price volatility of option-free bonds -- Duration as a measure of price volatility -- Combining duration and convexity to measure price volatility -- Duration and the yield curve -- Interest rate modeling (new) -- Investment and price characteristics of options -- Valuation and price volatility of bonds with embedded options -- Credit risk concepts and measures for corporate bonds (new) -- Measures used for securitized products -- Cash flow characteristics of amortizing loans -- Cash flow characteristics of mortgage-backed securities -- Prepayment modeling (new) -- Basics of MBS structuring (new) -- Analysis of agency mortgage-backed securities -- Basics of probability theory and statistics -- Regresssion analysis -- Statistical techniques for credit scoring and risk factor identification (new) -- Tracking error and multi-factor risk models (new) -- Monte Carlo simulation -- Optimization 
<br/><br/><label>ISBN: </label>007146073X (hardcover : alk. paper)  RM332.90 
<br/><br/><label>Subjects--Topical Terms: </label><br/>Fixed-income securities--Mathematics<br/>Rate of return