| Advanced Fixed-Income Valuation Tools Contributor(s): Jegadeesh, Narasimhan (Author), Tuckman, Bruce (Author) |
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ISBN: 0471254193 ISBN-13: 9780471254195 Publisher: Wiley OUR PRICE: $92.70 Product Type: Hardcover - Other Formats Published: December 1999 Annotation: In response to intense competition and higher market volatility, players in the fixed-income market now demand increasingly sophisticated valuation tools. Until recently, a basic understanding of duration and convexity or the ability to use simple, one-factor term structure models was enough to distinguish one from the crowd. Now, this knowledge is practically de rigueur. Cutting-edge players today need a deep understanding of how convexity and risk premia affect bond yields and returns; of how multi-factor term structure models can improve hedging performance; of how to improve the accuracy and efficiency of Monte Carlo analysis, etc. This book brings together contributions from twenty-four finance professionals and academics from top investment banks, consulting firms, and universities. Going well beyond the basics, Advanced Fixed-Income Valuation Tools brings the reader some of the most advanced thinking in the field. Topics covered in this book include: * The effects of convexity and risk premia on bond yields, forward and future rates, and expected returns * The similarities and differences among term structure models * Multi-factor models and models with jumps * Modeling credit risk * Prepayment modeling and MBS pricing * The Muni-Treasury spread * Foreign currency options * Efficient numerical valuation techniques Advanced Fixed-Income Valuation Tools arms the reader with the knowledge and tools needed to succeed in the competitive and rapidly evolving field of quantitative fixed-income investing and trading. "This is a thoughtfully organized compendium of a series of high-quality papers thatshould serve as an excellentresource describing cutting-edge research. Drs. Jegadeesh and Tuckman have put together a collection of first-rate authors considering timelyand useful areas of some of the frontiers of fixed-income valuation." -H. Gifford Fong President, Gifford Fong Associates President Editor, Financial Analysts Journal "This book has an excellent mix of well-written survey papers and cutting-edge research on fixed-income modeling techniques. The strong practical flavor of the papers makes this collection invaluable in understanding this dynamic area of research."-Francis Longstaff Professor of Finance, Anderson School at UCLA "Jegadeesh and Tuckman have done an excellent job of selecting papers that bridge the gap between the new developments in fixed-income models and the practitioners' needs. This collection of papers goes beyond the treatment of fixed-income analytics found in other textbooks. It will be useful for interest rate modelers and fixed-income specialists as well as for academics looking for a summary of the recent advances in the field." Yacine Ait-Sahalia Professor, Princeton University and Director, Bendheim Center in Finance "This excellent collection of articles ushers the reader into the forefront of advanced fixed-income valuation theory. Researchers will find the cutting-edge material stimulating and the abundance of contemporary references informative. Practitioners will particularly benefit from the attentive treatment of default risk and tax effects-important components of value that are seldom given due cognizance." -Andrew Kalotay, PhD Member, Fixed-Income Analysts Society Hall of Fame President, Andrew Kalotay Associates, Inc. |
| Additional Information |
| BISAC Categories: - Business & Economics | Investments & Securities - General - Business & Economics | Finance - General |
| Dewey: 332.632 |
| LCCN: 99030540 |
| Series: Frontiers in Finance |
| Physical Information: 1.34" H x 6.35" W x 9.3" (1.75 lbs) 432 pages |
| Descriptions, Reviews, Etc. |
| Publisher Description: Normalerweise stehen festverzinsliche Wertpapiere für einen festen Cash Flow. In den vergangenen Jahren sind jedoch viele neue festverzinsliche Wertpapiere hinzugekommen, bei denen der erwartete Cash Flow vom jeweiligen Zinsniveau abhängt, was die Bewertung dieser Anlagen deutlich schwieriger macht. Dieses Buch behandelt die neuesten Erkenntnisse zur Bewertung festverzinslicher Wertpapiere. Diskutiert werden die Finessen mathematischer Verfahren, neue Ansätze zur Gestaltung von Laufzeitstrukturen und festverzinsliche Bewertungsverfahren im Zusammenhang mit Kreditrisiko, Hypotheken, Kommunalanleihen und indexierten Anleihen. Advanced Fixed-Income Valuation Tools behandelt nicht nur die theoretische Seite von Bewertungsmodellen und -verfahren, sondern auch ihre Anwendung in der Praxis. Mit Beiträgen von 24 Spitzenexperten führender Investmentbanken, Consultingunternehmen und Universitäten. |