Yield Curve Analysis

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Yield Curve Analysis

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Author : Livingston G. Douglas
language : en
Publisher: Prentice Hall
Release Date : 1988

Yield Curve Analysis written by Livingston G. Douglas and has been published by Prentice Hall this book supported file pdf, txt, epub, kindle and other format this book has been release on 1988 with Business & Economics categories.

With their increasing complexity, the fixed-income markets have made greater demands upon their participants. To be successful -- in this era of heightened volatility, especially -- requires a firm foundation in the precepts underlying the behavior of fixed-income investments. This book answers that need by presenting a comprehensive analysis of the two primary concepts: risk and return. Its four major sections develop and apply these concepts clearly and progressively, with outline and summary aids to enhance understanding and ample illustrations to reinforce the explanations.

The Handbook Of Fixed Income Securities Chapter 8 Overview Of Forward Rate Analysis

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Author : Frank Fabozzi
language : en
Publisher: McGraw Hill Professional
Release Date : 2005-04-15

The Handbook Of Fixed Income Securities Chapter 8 Overview Of Forward Rate Analysis written by Frank Fabozzi and has been published by McGraw Hill Professional this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005-04-15 with Business & Economics categories.

From The Handbook of Fixed Income Securities--the most authoritative, widely read reference in the global fixed income marketplace--comes this sample chapter. This comprehensive survey of current knowledge features contributions from leading academics and practitioners and is not equaled by any other single sourcebook. Now, the thoroughly revised and updated seventh edition gives you the facts and formulas you need to compete in today's transformed marketplace. It places increased emphasis on applications, electronic trading, and global portfolio management.

Comparing Models For Forecasting The Yield Curve

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Author : Marco S. Matsumura
language : en
Publisher:
Release Date : 2006

Comparing Models For Forecasting The Yield Curve written by Marco S. Matsumura and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with Economic forecasting categories.

Estimating And Interpreting The Yield Curve

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Author : Nicola Anderson
language : en
Publisher:
Release Date : 1996-06-04

Estimating And Interpreting The Yield Curve written by Nicola Anderson and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996-06-04 with Business & Economics categories.

A yield curve is a graph indicating the term structure of interest rates by plotting the yields of all bonds of the same quality. This book provides a thorough analysis of estimation techniques and a survey of yield curve interpretation. On the former it is the most advanced book in its field, on the latter it provides an introduction to more specialised texts. It also provides important insight into the latest thinking on these techniques at the Bank of England.

Parsimoneous Modeling Of Yield Curves For U S Treasury Bills

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Author : Charles R. Nelson
language : en
Publisher:
Release Date : 1985

Parsimoneous Modeling Of Yield Curves For U S Treasury Bills written by Charles R. Nelson and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1985 with Bonds categories.

A new model is proposed for representinq the term to maturity structure of interest rates at a point in time.The model produces humped, monotonic and S-shaped yield curves using four parameters. Conditional on a time decay parameter, estimates of the other three are obtained by least squares. Yield curves for thirty-seven sets of U.S. Treasury bill yields with maturities up to one year are presented. The median standard deviation of fit is just over seven basis points and the corresponding median R-squared is .96. Study of residuals suggests the existence of specific maturity effects not previously identified. Using the models to predict the price of a long term bond provides a diagnostic check and suggests directions for further research.

Modern Portfolio Theory And Investment Analysis

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Author : Edwin J. Elton
language : en
Publisher:
Release Date : 1987

Modern Portfolio Theory And Investment Analysis written by Edwin J. Elton and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1987 with Business & Economics categories.

This new edition of the popular undergraduate text examines the characteristics and analysis of individual securities along with the theory and practice of combining securities into portfolios. Changes in this edition include a new chapter on valuation, financial futures and substantial updating reflecting recent changes in theory. Details the theory of modern portfolio analysis and discusses the differences between portfolios and the individual securities from which they are formed. Describes the equilibrium in capital markets, and reviews the characteristics and evaluation of individual securities, including their market efficiency, the valuation of common stocks, valuation of bonds, nature and valuation of options, and the valuation and uses of futures. Concludes with a discussion of the evaluation of the investment analysis and portfolio management process, stressing techniques for evaluating every stage of the investment process.

The Handbook Of Fixed Income Securities Eighth Edition

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Author : Frank J. Fabozzi
language : en
Publisher: McGraw Hill Professional
Release Date : 2012-01-06

The Handbook Of Fixed Income Securities Eighth Edition written by Frank J. Fabozzi and has been published by McGraw Hill Professional this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-01-06 with Business & Economics categories.

Thoroughly revised and updated, the eighth edition of Frank Fabozzi's classic collection - filled with chapters written by the industry's most trusted, authoritative fixed income experts' delivers every updated fact and formula today's finance professional needs.

The Q Group Summary Of Proceedings 1976 1982

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Author : John Peter Williamson
language : en
Publisher:
Release Date : 1983

The Q Group Summary Of Proceedings 1976 1982 written by John Peter Williamson and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1983 with Finance categories.

Of Q Conferences prepared and edited by J. Peter Williamson.

Quantitative Analysis For Investment Management

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Author : Robert Alexander Taggart
language : en
Publisher:
Release Date : 1996

Quantitative Analysis For Investment Management written by Robert Alexander Taggart and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996 with Business & Economics categories.

Appropriate for intermediate undergraduate or graduate-level courses in Investments, Investment Management, Security Analysis. It is also suitable as a supplement for such courses as Money and Capital Markets, Fixed Income Securities, Derivative Securities and Portfolio Management. The purpose of the book is to provide a concise overview of the quantitative tools and models that have been most widely used in investment management. It is the premise of the book that many of the most popular quantitative techniques have certain elements in common, and that if these elements can be understood, the reader can gain a working understanding of a wider variety of complex securities and portfolio management techniques.

The Handbook Of Fixed Income Securities

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Author : Frank J. Fabozzi
language : en
Publisher: McGraw-Hill Professional Publishing
Release Date : 1983

The Handbook Of Fixed Income Securities written by Frank J. Fabozzi and has been published by McGraw-Hill Professional Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 1983 with Business & Economics categories.

The world's #1 fixed income book, now with 21 all-new chapters "The Handbook of Fixed Income Securities"occupies the top spot as the most authoritative, widely read reference in the global fixed income marketplace. First published in 1983, this comprehensive survey of current knowledge features contributions from leading academics and practitioners and has carved out a niche that cannot and will not be equaled by any other single sourcebook. Now, the thoroughly revised and updated seventh edition gives finance professionals the facts and formulas they need to compete in today's transformed marketplace. It places increased emphasis on applications, electronic trading, and global portfolio management, and features new chapters on topics including: Eurobonds Emerging market debt Credit risk modeling Synthetics CDOs Transition management And many more