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02414pam a22003254a 4500 001 3ECE1A582B0C11DE82774608A8D7520A 005 200904162357.0 008 050715s2006 nyua b 001 0 eng 010 $a 2005020285 020 $a 9780071460736 (hardcover : alk. paper) 020 $a 007146073X (hardcover : alk. paper) 035 $a (OCoLC)61115518 040 $a DLC $c DLC $d SILO $d BAKER $d UKM $d NIU $d SILO 050 00 $a HG4650 $b .F33 2006 082 00 $a 332.63/2/0151 $2 22 100 1 $a Fabozzi, Frank J. 245 1 $a Fixed income mathematics : $b analytical and statistical techniques / $c Frank J. Fabozzi. 250 $a 4th ed. 260 $a New York : $b McGraw-Hill, $c c2006. 300 $a xix, 649 p. : $b ill. ; $c 24 cm. 504 $a Includes bibliographical references and index. 505 0 $a Overview of fixed income securities and derivatives -- 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 properties 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 models -- Call options : investment and price characteristics -- Valuation and price volatility of bonds with embedded options -- Credit risk concepts and measures for corporate bonds -- Measures used for securitized products -- Cash flow characteristics of amortizing loans -- Cash flow characteristics of mortgage-backed securities -- Prepayment models for mortgage-backed securities -- Basics of MBS structuring -- Analysis of agency mortgage-backed securities -- Basics of probability theory and statistics -- Regresssion analysis -- Statistical techniques for credit scoring and risk factor identification -- Tracking error and multifactor risk models -- Simulation -- Optimization models. 650 0 $a Fixed-income securities $x Mathematics. 650 0 $a Rate of return. 856 41 $3 Table of contents $u http://www.loc.gov/catdir/toc/ecip0516/2005020285.html 939 $a 5622038 941 $a 1 956 $a http://locator.silo.lib.ia.us/search.cgi?index_0=id&term_0=3ECE1A582B0C11DE82774608A8D7520A 994 $a 02 $b NIU 952 $l UNUX074 $d 20090701080000.0Initiate Another SILO Locator Search