TY  - BOOK
AU  - Fabozzi,Frank J.
TI  - Fixed income mathematics: analytical & statistical techniques 
SN  - 007146073X (hardcover : alk. paper)
PY  - 2006///
CY  - New York
PB  - McGraw-Hill
KW  - Fixed-income securities
KW  - Mathematics
KW  - Rate of return
N1  - Includes index; 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
UR  - http://www.loc.gov/catdir/toc/ecip0516/2005020285.html
UR  - http://www.loc.gov/catdir/enhancements/fy0622/2005020285-b.html
UR  - http://www.loc.gov/catdir/enhancements/fy0622/2005020285-d.html
ER  -