Biblioteca Univ. Surcolombiana

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Fixed income securities tools for today's markets Bruce Tuckman.

By: Tuckman, Bruce.
Series: Wiley finance series: New York John Wiley ©2002Edition: 2 ed.Description: xv, 512 páginas ilustrado 24 cm.ISBN: 0471063177; 0471063223.Subject(s): Fixed-income securities | Valores de renta fija | Títulos valores y bienesDDC classification: 332.632
Contents:
The Relative Pricing of Fixed Income Securities with Fixed Cash Flows. Bond Prices, Discount Factors, and Arbitrage. Bond Prices, Spot Rates, and Forward Rates. Yield-to-Maturity. Generalizations and Curve Fitting -- Measures of Price Sensitivity and Hedging. One-Factor Measures of Price Sensitivity. Measures of Price Sensitivity Based on Parallel Yield Shifts. Key Rate and Bucket Exposures. Regression-Based Hedging -- Term Structure Models. The Science of Term Structure Models. The Short-Rate Process and the Shape of the Term Structure. The Art of Term Structure Models: Drift. The Art of Term Structure Models: Volatility and Distribution. Multi-Factor Term Structure Models. Trading with Term Structure Models -- Selected Securities. Repo. Forward Contracts. Eurodollar and Fed Funds Futures.
Interest Rate Swamps. Fixed Income Options. Note and Bond Futures. Mortgage-Backed Securities.
List(s) this item appears in: Economia
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Item type Current location Collection Call number Copy number Status Date due Barcode Item holds
Libros Libros Biblioteca Central
General 332.632 / T898f (Browse shelf) Ej.1 Available 8000022234
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Incluye referencias bibliográficas (p. 497-499) e índice.

Pt. 1. The Relative Pricing of Fixed Income Securities with Fixed Cash Flows. Ch. 1. Bond Prices, Discount Factors, and Arbitrage. Ch. 2. Bond Prices, Spot Rates, and Forward Rates. Ch. 3. Yield-to-Maturity. Ch. 4. Generalizations and Curve Fitting -- Pt. 2. Measures of Price Sensitivity and Hedging. Ch. 5. One-Factor Measures of Price Sensitivity. Ch. 6. Measures of Price Sensitivity Based on Parallel Yield Shifts. Ch. 7. Key Rate and Bucket Exposures. Ch. 8. Regression-Based Hedging -- Pt. 3. Term Structure Models. Ch. 9. The Science of Term Structure Models. Ch. 10. The Short-Rate Process and the Shape of the Term Structure. Ch. 11. The Art of Term Structure Models: Drift. Ch. 12. The Art of Term Structure Models: Volatility and Distribution. Ch. 13. Multi-Factor Term Structure Models. Ch. 14. Trading with Term Structure Models -- Pt. 4. Selected Securities. Ch. 15. Repo. Ch. 16. Forward Contracts. Ch. 17. Eurodollar and Fed Funds Futures.

Ch. 18. Interest Rate Swamps. Ch. 19. Fixed Income Options. Ch. 20. Note and Bond Futures. Ch. 21. Mortgage-Backed Securities.

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