Fixed Income Analytics
Bonds in High and Low Interest Rate Environments
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Beschreibung
This book analyses and discusses bonds and bond portfolios. Different yields and duration measures are investigated. The transition from a single bond to a bond portfolio leads to the equation for the internal rate of return. Its solution is analyzed and compared to different approaches proposed in the financial industry. The impact of different yield scenarios on a model bond portfolio is illustrated. Market and credit risk are introduced as independent sources of risk. Different concepts for assessing credit markets are described. Lastly, an overview of the benchmark industry is offered and an introduction to convertible bonds is given. This book is a valuable resource not only for students and researchers but also for professionals in the financial industry.
Broadens understanding of the basic concepts of fixed income with easy-to-understand examples
Goes beyond the traditional linearization approaches to provide deeper mathematical insights
Explains the notion of bond convexityBroadens understanding of the basic concepts of fixed income with easy-to-understand examples Goes beyond the traditional linearization approaches to provide deeper mathematical insights Explains the notion of bond convexity
Autor*in
Wolfgang Marty
Themen in »Fixed Income Analytics«
Bond Analytics Straight Bonds Internal Return Rate Credit Market Risk Market banking quantitative finance