Fixed income mathematics

Robert Zipf

342 pages, parution le 13/08/2003

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Résumé

An introduction to common lixed income instruments and mathematics, Fixed Income Mathematics offers explanations, exercises, and examples without demanding sophisticated mathematics. The author utilizes his extensive business and teaching experience to highlight the fundamentals of investment and management decision-making to offer key questions and exercises that suggest the applicability ol fixed income mathematics.

Written for readers with a general mathematics background and suffused with international examples, this self-teaching book is an ideal handy reference guide. Fixed Income Mathematics is your gateway to financial mathematics and increased competence in business analysis.

Introdcution - Who this book is for and what it hopes to accomplish
Interest, its calculation, and return on investment
Compound interest
Present values
Annuities certain
Bond price calculation
The future value (or amount) of an annuity
Accrued interest
Discount yield
Calculations for other securities
Quotations and bond market reports
Types of yields
Sources of return, total return, and interest on interest
Volatility and its measures
Duration
Convexity
The mathematical development of duration, convexity, and the equation to predict new bond prices, given yiekd changes
Probability and some applications to finance
The term structure of interest rates, the expectations hypothesis, and implied forward rates
Variable and uncertain cash flow
Mortgage-backed securities
Futures contracts
Options

Index

Caractéristiques techniques

	PAPIER
Éditeur(s)	Academic Press
Auteur(s)	Robert Zipf
Parution	13/08/2003
Nb. de pages	342
Format	15,5 x 23,5
Couverture	Relié
Poids	600g
Intérieur	Noir et Blanc
EAN13	9780127817217
ISBN13	978-0-12-781721-7