Valuation of Interest-Sensitive Financial Instruments

Valuations of Interest-Sensitive Financial Instruments provides in-depth analysis of the development and underpinnings of models that are essential to the financial analyst or valuation actuary. Complete coverage includes: spot and forward interest rates, discrete- and continuous-time one-factor models, multi-factor discrete- and continuous-time models, and simulation approaches.

List of contents

From the contents:
Preface. Acknowledgments. 1. Spot Interest Rates, Forward Interest Rates, Short Rate, and Yield-to-Maturity. 2. An Introduction to Valuation of Fixed and Interest-Sensitive Cash Flow. 3. Discrete-Time One-Factor Models. 4. Continuous-Time One-Factor Models. 5. Solution Approaches to Single-Factor Models. 6. Multi-Factor Continuous-Time Models. 7. Multi-Factor Discrete-Time Models. 8. Simulation Approaches. Bibliography. Solution to Practice Exercises. Index

Product details

• Authors: David F. Babbel, Craig B. Merrill
• Publisher: MCGRAW-HILL Professional
• Languages: English
• Product format: Paperback / Softback
• Released: 01.01.1996
• EAN: 9781883249151
• ISBN: 978-1-883249-15-1
• No. of pages: 145
• Weight: 526 g
• Series: Frank J. Fabozzi Series; SOA Monograph, M-FI; Frank J. Fabozzi Series; SOA Monograph, M-FI
• Subjects: Social sciences, law, business > Business > Business administration; Investment-Geschäft, Finanzwirtschaft