Bond Portfolio Immunization
Author: Michael R. Granito
Publisher: Lexington Books
Published: 1984
Total Pages: 264
ISBN-13:
DOWNLOAD EBOOKPosts
Bond Pricing and Portfolio Analysis
Author: Olivier de La Grandville
Publisher: MIT Press
Published: 2003-01-24
Total Pages: 486
ISBN-13: 0262541459
DOWNLOAD EBOOKMakes accessible the most important methodological advances in bond evaluation from the past twenty years.
Financial Risk in Insurance
Author: G. Ottaviani
Publisher: Springer Science & Business Media
Published: 2012-12-06
Total Pages: 123
ISBN-13: 3642578462
DOWNLOAD EBOOKPublished with the contribution of the Italian insurance company, INA, this volume contains the invited contributions presented at the 3rd International AFIR Colloquium. In the spirit of actuarial tradition, the colloquium paid attention to the link between the theoretical approach and the operative problems of financial markets and institutions, and insurance companies in particular. The book is thus an important reference work for students and researchers of actuarial sciences and finance, and is also recommended to practitioners with theoretical interests.
Lecture Notes In Investment: Investment Fundamentals
Author: Eliezer Z Prisman
Publisher: World Scientific
Published: 2020-11-24
Total Pages: 280
ISBN-13: 9811219575
DOWNLOAD EBOOKThis is an introduction to an investment course that focuses on basic models used in the financial industry for investment and decision making. The course begins with an overview of the investment environment in developed markets, followed by a more in-depth analysis of key investment topics. These topics include modern portfolio theory, asset pricing models, term structure of interest rates, stock and bond portfolio management and evaluation of portfolio performance. Modern finance extensively uses the concept of arbitrage, or rather the lack of it in financial markets, and the course highlights such uses in different circumstances.The course takes a hands-on approach with the aid of a software package, Maple™, the details of which will be explained during the first lecture. Consequently, most lectures will be divided between a theoretical lecture and a lab — a practical implementation of the theoretical material of the lecture. The use of the Maple™ software in this course simulates, to a certain extent, a professional environment. It allows visualizations of different concepts, minimizes tedious algebraic calculations and the use of calculus while equipping students with intuitive understanding. This is facilitated by the symbolic power of Maple™ and its excellent graphic and animation capabilities.Institutional material is surveyed very concisely, so the reader gets an appreciation of the investment 'lay of the land'. It is enhanced by an eLearning unit, self-administrated quizzes as well as a stock market game, utilizing StockTrack™. StockTrack™ introduces students to trading in the real world by practicing different types of orders as well as introducing conventions common in the investment community.
Bond Portfolio Optimization
Author: Michael Puhle
Publisher: Springer Science & Business Media
Published: 2008-01-08
Total Pages: 143
ISBN-13: 354076593X
DOWNLOAD EBOOKThe book analyzes how modern portfolio theory and dynamic term structure models can be applied to government bond portfolio optimization problems. The author studies the necessary adjustments, examines the models with regard to the plausibility of their results and compares the outcomes to portfolio selection techniques used by practitioners. Both single-period and continuous-time bond portfolio optimization problems are considered.
Handbook Of Financial Econometrics, Mathematics, Statistics, And Machine Learning (In 4 Volumes)
Author: Cheng Few Lee
Publisher: World Scientific
Published: 2020-07-30
Total Pages: 5053
ISBN-13: 9811202400
DOWNLOAD EBOOKThis four-volume handbook covers important concepts and tools used in the fields of financial econometrics, mathematics, statistics, and machine learning. Econometric methods have been applied in asset pricing, corporate finance, international finance, options and futures, risk management, and in stress testing for financial institutions. This handbook discusses a variety of econometric methods, including single equation multiple regression, simultaneous equation regression, and panel data analysis, among others. It also covers statistical distributions, such as the binomial and log normal distributions, in light of their applications to portfolio theory and asset management in addition to their use in research regarding options and futures contracts.In both theory and methodology, we need to rely upon mathematics, which includes linear algebra, geometry, differential equations, Stochastic differential equation (Ito calculus), optimization, constrained optimization, and others. These forms of mathematics have been used to derive capital market line, security market line (capital asset pricing model), option pricing model, portfolio analysis, and others.In recent times, an increased importance has been given to computer technology in financial research. Different computer languages and programming techniques are important tools for empirical research in finance. Hence, simulation, machine learning, big data, and financial payments are explored in this handbook.Led by Distinguished Professor Cheng Few Lee from Rutgers University, this multi-volume work integrates theoretical, methodological, and practical issues based on his years of academic and industry experience.
Bond Portfolio Management
Author: Frank J. Fabozzi
Publisher: John Wiley & Sons
Published: 2001-11-09
Total Pages: 738
ISBN-13: 9781883249366
DOWNLOAD EBOOKIn Bond Portfolio Management, Frank Fabozzi, the leading expert in fixed income securities, explains the latest strategies for maximizing bond portfolio returns. Through in-depth discussions on different types of bonds, valuation principles, and a wide range of strategies, Bond Portfolio Management will prepare you for virtually any bond related event-whether your working on a pension fund or at an insurance company. Key topics include investment objectives of institutional investors, general principles of bond valuation, measuring interest rate risk, and evaluating performance. Bond Portfolio Management is an excellent resource for anyone looking to master one of the world's largest markets, and is a perfect companion to Fabozzi's successful guide-The Handbook of Fixed-Income Securities.
Quantitative Management of Bond Portfolios
Author: Lev Dynkin
Publisher: Princeton University Press
Published: 2020-05-26
Total Pages: 998
ISBN-13: 069120277X
DOWNLOAD EBOOKThe practice of institutional bond portfolio management has changed markedly since the late 1980s in response to new financial instruments, investment methodologies, and improved analytics. Investors are looking for a more disciplined, quantitative approach to asset management. Here, five top authorities from a leading Wall Street firm provide practical solutions and feasible methodologies based on investor inquiries. While taking a quantitative approach, they avoid complex mathematical derivations, making the book accessible to a wide audience, including portfolio managers, plan sponsors, research analysts, risk managers, academics, students, and anyone interested in bond portfolio management. The book covers a range of subjects of concern to fixed-income portfolio managers--investment style, benchmark replication and customization, managing credit and mortgage portfolios, managing central bank reserves, risk optimization, and performance attribution. The first part contains empirical studies of security selection versus asset allocation, index replication with derivatives and bonds, optimal portfolio diversification, and long-horizon performance of assets. The second part covers portfolio management tools for risk budgeting, bottom-up risk modeling, performance attribution, innovative measures of risk sensitivities, and hedging risk exposures. A first-of-its-kind publication from a team of practitioners at the front lines of financial thinking, this book presents a winning combination of mathematical models, intuitive examples, and clear language.
Fixed Income Analytics
Author: Kenneth D. Garbade
Publisher: MIT Press
Published: 1996
Total Pages: 490
ISBN-13: 9780262071765
DOWNLOAD EBOOKBringing together 20 papers written by, and for, practitioners in the US treasury, this text on fixed income analysis, focuses on applicable techniques, and presents quantitative methodologies for the analysis of fixed income securities.
Advanced Fixed Income Portfolio Management
Author: Frank J. Fabozzi
Publisher: Probus Professional Pub
Published: 1994
Total Pages: 360
ISBN-13: 9781557385680
DOWNLOAD EBOOKIn Advanced Fixed Income Portfolio Management, Frank J. Fabozzi and Gifford Fong thoroughly explain the latest strategies and techniques for investing in the fixed income market. They discuss valuation techniques, active strategies, indexing strategies, immunization strategies and cash-flow matching strategies. In addition, they discuss how to measure interest rate risk and yield curve risk. Divided into three sections--Sources and Measurement of Risk, Valuation and Portfolio Management Strategies--the book provides answers for portfolio managers seeking to meet the challenge of active management and asset allocation modeling.
