Yield Curve Modelling at the Bank of Canada
Author: David Bolder
Publisher:
Published: 1999
Total Pages: 56
ISBN-13: 9780662276029
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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.
Analysing and Interpreting the Yield Curve
Author: Moorad Choudhry
Publisher: John Wiley & Sons
Published: 2019-04-15
Total Pages: 407
ISBN-13: 1119141052
DOWNLOAD EBOOKUnderstand and interpret the global debt capital markets Now in a completely updated and expanded edition, this is a technical guide to the yield curve, a key indicator of the global capital markets and the understanding and accurate prediction of which is critical to all market participants. Being able to accurately and timely predict the shape and direction of the curve permits practitioners to consistently outperform the market. Analysing and Interpreting the Yield Curve, 2nd Edition describes what the yield curve is, explains what it tells participants, outlines the significance of certain shapes that the curve assumes and, most importantly, demonstrates what factors drive it and how it is modelled and used. Covers the FTP curve, the multi-currency curve, CSA, OIS-Libor and 3-curve models Gets you up to speed on the secured curve Describes application of theoretical versus market curve relative value trading Explains the concept of the risk-free rate Accessible demonstration of curve interpolation best-practice using cubic spline, Nelson-Siegel and Svensson 94 models This advanced text is essential reading for traders, asset managers, bankers and financial analysts, as well as graduate students in banking and finance.
Gilt-Edged Market
Author: Moorad Choudhry
Publisher: Elsevier
Published: 2003-05-01
Total Pages: 303
ISBN-13: 0080472869
DOWNLOAD EBOOKThe Gilt-Edged Market is specifically aimed at finance professionals and investors who need to understand the inner working of the United Kingdom gilt market. There is detailed coverage of the different gilt instruments, as well as a look at the structures, institutions and practices of the market itself.Topics include:* Bond basics* Conventional gilts* Index-linked gilts* Gilt strips* The gilt repo market* The gilt bond future basis* Yield spread trading using giltsThere are also personal reminiscenes that illustrate the great changes that have occurred in this market since Big Bang, as well as an exposition on the art of trading.The Gilt-Edged Market is ideal reading for traders, salespersons, fund managers, private investors and other professionals involved to any extent in the UK gilt market.* The latest research on index-linked gilts, gilt markets and sterling debt markets presented in an enthusiastic, readable style* Written by gilt-edged market makers and dealers to ensure realistic, practical coverage as well as a clear explanation of the theory, so readers gain from years' experience* Foreword written by Mike Williams, CEO of the Debt Management Office
An Introduction to Financial Markets and Institutions
Author: Maureen Burton
Publisher: Routledge
Published: 2015-03-04
Total Pages: 1143
ISBN-13: 1317476743
DOWNLOAD EBOOKCompletely revised and updated to include the ongoing financial crisis and the Obama administration's programs to combat it, this is the best available introductory textbook for an undergraduate course on Financial Markets and Institutions. It provides balanced coverage of theories, policies, and institutions in a conversational style that avoids complex models and mathematics, making it a student-friendly text with many unique teaching features. Financial crises, global competition, deregulation, technological innovation, and growing government oversight have significantly changed financial markets and institutions. The new edition of this text is designed to capture the ongoing changes, and to present an analytical framework that enables students to understand and anticipate changes in the financial system and accompanying changes in markets and institutions. The text includes Learning Objectives and end-of-chapter Key Words and Questions, and an online Instructor's Manual is available to adopters.
Modelling and forecasting stock return volatility and the term structure of interest rates
Author: Michiel de Pooter
Publisher: Rozenberg Publishers
Published: 2007
Total Pages: 286
ISBN-13: 9051709153
DOWNLOAD EBOOKThis dissertation consists of a collection of studies on two areas in quantitative finance: asset return volatility and the term structure of interest rates. The first part of this dissertation offers contributions to the literature on how to test for sudden changes in unconditional volatility, on modelling realized volatility and on the choice of optimal sampling frequencies for intraday returns. The emphasis in the second part of this dissertation is on the term structure of interest rates.
Ebook: Fundamentals of Corporate Finance
Author: Brealey; Myers;
Publisher: McGraw Hill
Published: 2016-04-16
Total Pages: 802
ISBN-13: 0077185048
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Fixed Income Mathematics
Author: Robert Zipf
Publisher: Elsevier
Published: 2003-06-08
Total Pages: 343
ISBN-13: 0080506550
DOWNLOAD EBOOKFixed Income Mathematics is an easy-to-understand introduction to the mathematics of common fixed income instruments. This book offers explanations, exercises, and examples without demanding sophisticated mathematics from the reader. Not only does the author use his business and teaching experience to highlight the fundamentals of investment and management decision-making, but he also offers questions and exercises that suggest the applicability of fixed income mathematics. Written for the reader with a general mathematics background, this self-teaching book is suffused with examples that also make it a handy reference guide. It should serve as a gateway to financial mathematics and to increased competence in business analysis. International comparisons are used to illustrate how interest is compounded. This text will be a valuable resource for professional insurance and other actuarials who invest in bonds and who are concerned with inflation, asset-liability management, the time value of money, interest rates, rates of return, risk, and investment income. It will also appeal to MBA students and anyone seeking a general introduction or overview of the subject. * An easy-to-understand introduction to the mathematics of common fixed income instruments * Offers students explanations, exercises, and examples without demanding sophisticated mathematics * Uses international comparisons to illustrate how interest is compounded
Fixed Income Analysis Workbook
Author: Frank J. Fabozzi
Publisher: John Wiley & Sons
Published: 2011-01-04
Total Pages: 382
ISBN-13: 1118044851
DOWNLOAD EBOOKIn this fully revised and updated Second Edition of Fixed Income Analysis, readers will be introduced to a variety of important fixed income analysis issues, including the general principles of credit analysis, term structure and volatility of interest rates, and valuing bonds with embedded options.
Interest Rate Markets
Author: Siddhartha Jha
Publisher: John Wiley & Sons
Published: 2011-02-11
Total Pages: 373
ISBN-13: 111801779X
DOWNLOAD EBOOKHow to build a framework for forecasting interest rate market movements With trillions of dollars worth of trades conducted every year in everything from U.S. Treasury bonds to mortgage-backed securities, the U.S. interest rate market is one of the largest fixed income markets in the world. Interest Rate Markets: A Practical Approach to Fixed Income details the typical quantitative tools used to analyze rates markets; the range of fixed income products on the cash side; interest rate movements; and, the derivatives side of the business. Emphasizes the importance of hedging and quantitatively managing risks inherent in interest rate trades Details the common trades which can be used by investors to take views on interest rates in an efficient manner, the methods used to accurately set up these trades, as well as common pitfalls and risks?providing examples from previous market stress events such as 2008 Includes exclusive access to the Interest Rate Markets Web site which includes commonly used calculations and trade construction methods Interest Rate Markets helps readers to understand the structural nature of the rates markets and to develop a framework for thinking about these markets intuitively, rather than focusing on mathematical models
