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Informationen zum Autor FRANK J. FABOZZI, PHD, CFA, CPA, is Professor in the Practice of Finance and Becton Fellow at the Yale School of Management and Editor of the Journal of Portfolio Management. He is an Affiliated Professor at the University of Karlsruhe's Institute of Statistics, Econometrics, and Mathematical Finance and on the Advisory Council for the Department of Operations Research and Financial Engineering at Princeton University. STEVEN V. MANN, PHD, is Professor of Finance at the Moore School of Business, University of South Carolina. He has published over seventy articles in finance journals and many books on fixed income and derivatives topics, including The Global Money Markets, Measuring and Controlling Interest Rate and Credit Risk, Securities Finance (as a coeditor), and The Handbook of Fixed Income Securities (as an assistant editor). Mann is an active consultant to clients that include some of the largest investment/commercial banks in the world as well as a number of Fortune 500 companies. Klappentext A comprehensive introduction to the key concepts of fixed income analyticsThe First Edition of Introduction to Fixed Income Analytics skillfully covered the fundamentals of this discipline and was the first book to feature Bloomberg screens in examples and illustrations. Since publication over eight years ago, the markets have experienced cathartic change.That's why authors Frank Fabozzi and Steven Mann have returned with a fully updated Second Edition. This reliable resource reflects current economic conditions, and offers additional chapters on relative value analysis, value-at-risk measures and information on instruments like TIPS (treasury inflation protected securities).* Offers insights into value-at-risk, relative value measures, convertible bond analysis, and much more* Includes updated charts and descriptions using Bloomberg screens* Covers important analytical concepts used by portfolio managersUnderstanding fixed-income analytics is essential in today's dynamic financial environment. The Second Edition of Introduction to Fixed Income Analytics will help you build a solid foundation in this field. Zusammenfassung A comprehensive introduction to the key concepts of fixed income analytics The First Edition of Introduction to Fixed Income Analytics skillfully covered the fundamentals of this discipline and was the first book to feature Bloomberg screens in examples and illustrations. Inhaltsverzeichnis Preface xiii About the Authors xv CHAPTER 1: Time Value of Money 1 Future Value of a Single Cash Flow 1 Present Value of a Single Cash Flow 4 Compounding/Discounting When Interest Is Paid More Than Annually 8 Future and Present Values of an Ordinary Annuity 10 Yield (Internal Rate of Return) 20 Concepts Presented in this Chapter 26 Appendix: Compounding and Discounting in Continuous Time 27 Questions 31 CHAPTER 2: Yield Curve Analysis: Spot Rates and Forward Rates 33 A Bond Is a Package of Zero-Coupon Instruments 33 Theoretical Spot Rates 34 Forward Rates 44 Dynamics of the Yield Curve 57 Concepts Presented in this CHAPTER 60 Questions 60 CHAPTER 3: Day Count Conventions and Accrued Interest 63 Day Count Conventions 63 Computing the Accrued Interest 74 Concepts Presented in this Chapter 76 Questions 76 CHAPTER 4: Valuation of Option-Free Bonds 77 General Principles of Valuation 77 Determining a Bond's Value 80 The Price/Discount Rate Relationship 84 Time Path of Bond 86 Valuing a Zero-Coupon Bond 90 Valuing a Bond Between Coupon Payments 90 Traditional Approach to Valuation 94 The Arbitrage-Free Valuation Approach 96 Concepts Presented in this Chapter 107 ...
