Fixed Income Finance: A Quantitative Approach
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Section 2: Probability Theory and Stochastic Processes:Normal Random Variables/The Central Limit Theory/ The Probability Distribution for Corporate Bonds Returns/ Correlated Random Variables/ Random Walks/Survival Probabilities/ Correlated Random Walks/Simulation
Section 3: Term Structure Models: One Factor Models and Two Factor Models/Bond Prices, Volatilities/Eurodollar Futures/Futures and Forward Contracts/ Macroeconomics and Two Factor Models
Section 4: Options: Call and Put Options on a Stock/The Merton Model/Options on Interest Rate Sensitive SecuritiesSection 5: Portfolio Allocation: Utility Functions/The Sharpe Ratio/Beyond Mean and Variance/ Value at Risk/ Examples
A complete guide for professionals with advanced mathematical skills but little or no financial knowledge . . .
You’re smart. Logical. Mathematically adept. One of those people who can make quick work of long, difficult equations. But when it comes to managing a financial portfolio and managing risk, you wonder if you’re missing out.
Fixed Income Finance is the book for you. It’s the perfect introduction to the concepts, formulas, applications, and methodology, all derived from first principles, that you need to succeed in the world of quantitative finance—with a special emphasis on fixed incomes. Written by two of the sharpest analytical minds in their fields, this instructive guide takes you through the basics of fixed income finance, including many new and original results, to help you understand:
- Treasury Bonds and the Yield Curve
- The Macroeconomics behind Term Structure Models
- Structural Models for Corporate Bonds and Portfolio Diversification
- Options
- Fixed Income Derivatives
- Numerical Techniques
Filled with step-by-step equations, clear and concise concepts, and ready-to-use formulas, this essential workbook bridges the gap between basic beginners’ primers and more advanced surveys to provide hands-on tools you can begin to use immediately. It’s all you need to put your math skills to work— and make the money work for you.
Brilliantly researched, impeccably detailed, and thoroughly comprehensive, Fixed Income Finance is applied mathematics at its best and most useful.