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Author : Risto Murto
Publisher :
ISBN 13 :
Total Pages : 31 pages
Book Rating : 4.:/5 (579 download)
Download or read book Duration, Immunization and Models of the Term Structure of Interest Rates written by Risto Murto and published by . This book was released on 1991 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Gerald O. Bierwag
Publisher :
ISBN 13 :
Total Pages : 18 pages
Book Rating : 4.:/5 (851 download)
Download or read book Immunization, duration, and the term structure of interes rates written by Gerald O. Bierwag and published by . This book was released on 1977 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Gabriel Hawawini
Publisher : Routledge
ISBN 13 : 1351381105
Total Pages : 263 pages
Book Rating : 4.3/5 (513 download)
Download or read book Bond Duration and Immunization written by Gabriel Hawawini and published by Routledge. This book was released on 2017-11-28 with total page 263 pages. Available in PDF, EPUB and Kindle. Book excerpt: First published in 1982, Bond Duration and Immunization is a collection of seminal papers featuring articles from high profile academics such as Frederick McCaulay, John Hicks, and F.M. Redington. This collection also features several articles published in British actuarial journals often unavailable outside of the UK, and a strong collection of articles which contextually offer a significant contribution to the field. This strong collection will appeal to anyone working or researching in the area of bond duration and immunization.
Author : Yan Alice Xie
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book Duration, Default Risk, and the Term Structure of Interest Rates written by Yan Alice Xie and published by . This book was released on 2004 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine the interactive effect of default and interest rate risk on duration of defaultable bonds. We show that duration for defaultable bonds can be longer or shorter than default-free bonds depending on the relation between default intensity and interest rates. Empirical evidence indicates that in most cases duration for defaultable bonds is much shorter than for default-free counterparts because of the negative relation between default risk and interest rates. Results suggest that the duration measure must be adjusted for the effects of default risk and stochastic interest rates to achieve an effective bond portfolio immunization.
Author : Gerald O. Bierwag
Publisher :
ISBN 13 :
Total Pages : 368 pages
Book Rating : 4.:/5 (321 download)
Download or read book Duration Analysis written by Gerald O. Bierwag and published by . This book was released on 1987 with total page 368 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Choong Sup Tark
Publisher :
ISBN 13 :
Total Pages : 206 pages
Book Rating : 4.:/5 (186 download)
Download or read book Duration and an Alternative Bond Portfolio Immunization Strategy written by Choong Sup Tark and published by . This book was released on 1987 with total page 206 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Wing Po Patrick Lau
Publisher :
ISBN 13 :
Total Pages : 554 pages
Book Rating : 4.:/5 (89 download)
Download or read book An Empirical Examination of Alternative Interest Rate Risk Immunization Strategies written by Wing Po Patrick Lau and published by . This book was released on 1983 with total page 554 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Sanjay K. Nawalkha
Publisher : John Wiley & Sons
ISBN 13 : 0471737445
Total Pages : 429 pages
Book Rating : 4.4/5 (717 download)
Download or read book Interest Rate Risk Modeling written by Sanjay K. Nawalkha and published by John Wiley & Sons. This book was released on 2005-05-31 with total page 429 pages. Available in PDF, EPUB and Kindle. Book excerpt: The definitive guide to fixed income valuation and risk analysis The Trilogy in Fixed Income Valuation and Risk Analysis comprehensively covers the most definitive work on interest rate risk, term structure analysis, and credit risk. The first book on interest rate risk modeling examines virtually every well-known IRR model used for pricing and risk analysis of various fixed income securities and their derivatives. The companion CD-ROM contain numerous formulas and programming tools that allow readers to better model risk and value fixed income securities. This comprehensive resource provides readers with the hands-on information and software needed to succeed in this financial arena.
Author : Sanjay K. Nawalkha
Publisher : John Wiley & Sons
ISBN 13 : 0471427241
Total Pages : 436 pages
Book Rating : 4.4/5 (714 download)
Download or read book Interest Rate Risk Modeling written by Sanjay K. Nawalkha and published by John Wiley & Sons. This book was released on 2005-05-09 with total page 436 pages. Available in PDF, EPUB and Kindle. Book excerpt: The definitive guide to fixed income valuation and risk analysis The Trilogy in Fixed Income Valuation and Risk Analysis comprehensively covers the most definitive work on interest rate risk, term structure analysis, and credit risk. The first book on interest rate risk modeling examines virtually every well-known IRR model used for pricing and risk analysis of various fixed income securities and their derivatives. The companion CD-ROM contain numerous formulas and programming tools that allow readers to better model risk and value fixed income securities. This comprehensive resource provides readers with the hands-on information and software needed to succeed in this financial arena.
Author : G. Ottaviani
Publisher : Springer Science & Business Media
ISBN 13 : 3642578462
Total Pages : 123 pages
Book Rating : 4.6/5 (425 download)
Download or read book Financial Risk in Insurance written by G. Ottaviani and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 123 pages. Available in PDF, EPUB and Kindle. Book excerpt: Published with the contribution of the Italian insurance company, INA, this volume contains the invited contributions presented at the 3rd International AFIR Colloquium. In the spirit of actuarial tradition, the colloquium paid attention to the link between the theoretical approach and the operative problems of financial markets and institutions, and insurance companies in particular. The book is thus an important reference work for students and researchers of actuarial sciences and finance, and is also recommended to practitioners with theoretical interests.
Author : Institute of Medicine
Publisher : National Academies Press
ISBN 13 : 0309267021
Total Pages : 237 pages
Book Rating : 4.3/5 (92 download)
Download or read book The Childhood Immunization Schedule and Safety written by Institute of Medicine and published by National Academies Press. This book was released on 2013-04-27 with total page 237 pages. Available in PDF, EPUB and Kindle. Book excerpt: Vaccines are among the most safe and effective public health interventions to prevent serious disease and death. Because of the success of vaccines, most Americans today have no firsthand experience with such devastating illnesses as polio or diphtheria. Health care providers who vaccinate young children follow a schedule prepared by the U.S. Advisory Committee on Immunization Practices. Under the current schedule, children younger than six may receive as many as 24 immunizations by their second birthday. New vaccines undergo rigorous testing prior to receiving FDA approval; however, like all medicines and medical interventions, vaccines carry some risk. Driven largely by concerns about potential side effects, there has been a shift in some parents' attitudes toward the child immunization schedule. The Childhood Immunization Schedule and Safety identifies research approaches, methodologies, and study designs that could address questions about the safety of the current schedule. This report is the most comprehensive examination of the immunization schedule to date. The IOM authoring committee uncovered no evidence of major safety concerns associated with adherence to the childhood immunization schedule. Should signals arise that there may be need for investigation, however, the report offers a framework for conducting safety research using existing or new data collection systems.
Author : Simon Benninga
Publisher : MIT Press
ISBN 13 : 0262046423
Total Pages : 1049 pages
Book Rating : 4.2/5 (62 download)
Download or read book Financial Modeling, fifth edition written by Simon Benninga and published by MIT Press. This book was released on 2022-02-01 with total page 1049 pages. Available in PDF, EPUB and Kindle. Book excerpt: A substantially updated new edition of the essential text on financial modeling, with revised material, new data, and implementations shown in Excel, R, and Python. Financial Modeling has become the gold-standard text in its field, an essential guide for students, researchers, and practitioners that provides the computational tools needed for modeling finance fundamentals. This fifth edition has been substantially updated but maintains the straightforward, hands-on approach, with an optimal mix of explanation and implementation, that made the previous editions so popular. Using detailed Excel spreadsheets, it explains basic and advanced models in the areas of corporate finance, portfolio management, options, and bonds. This new edition offers revised material on valuation, second-order and third-order Greeks for options, value at risk (VaR), Monte Carlo methods, and implementation in R. The examples and implementation use up-to-date and relevant data. Parts I to V cover corporate finance topics, bond and yield curve models, portfolio theory, options and derivatives, and Monte Carlo methods and their implementation in finance. Parts VI and VII treat technical topics, with part VI covering Excel and R issues and part VII (now on the book’s auxiliary website) covering Excel’s programming language, Visual Basic for Applications (VBA), and Python implementations. Knowledge of technical chapters on VBA and R is not necessary for understanding the material in the first five parts. The book is suitable for use in advanced finance classes that emphasize the need to combine modeling skills with a deeper knowledge of the underlying financial models.
Author : Wesley Phoa
Publisher : John Wiley & Sons
ISBN 13 : 9781883249342
Total Pages : 242 pages
Book Rating : 4.2/5 (493 download)
Download or read book Advanced Fixed Income Analytics written by Wesley Phoa and published by John Wiley & Sons. This book was released on 1997-11-09 with total page 242 pages. Available in PDF, EPUB and Kindle. Book excerpt: Advanced Fixed Income Analytics helps fixed income professionals stay abreast of the latest developments in the field by providing a practical account of quantitative methods in the fixed income market. Wesley Phoa covers a variety of important topics within the bond markets, including inflation-indexed bonds, prepayment risk and modeling, term structure models, credit spread and volatility risk, and risk measures and return attribution. The information and guidance of Advanced Fixed Income Analytics has a strong emphasis on empirical analysis and practical applications that will prepare you for anything within the fixed income market.
Author : Marek Musiela
Publisher : Springer Science & Business Media
ISBN 13 : 3662221322
Total Pages : 521 pages
Book Rating : 4.6/5 (622 download)
Download or read book Martingale Methods in Financial Modelling written by Marek Musiela and published by Springer Science & Business Media. This book was released on 2013-06-29 with total page 521 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive and self-contained treatment of the theory and practice of option pricing. The role of martingale methods in financial modeling is exposed. The emphasis is on using arbitrage-free models already accepted by the market as well as on building the new ones. Standard calls and puts together with numerous examples of exotic options such as barriers and quantos, for example on stocks, indices, currencies and interest rates are analysed. The importance of choosing a convenient numeraire in price calculations is explained. Mathematical and financial language is used so as to bring mathematicians closer to practical problems of finance and presenting to the industry useful maths tools.
Author : Stavros A. Zenios
Publisher : Elsevier
ISBN 13 : 0080478204
Total Pages : 509 pages
Book Rating : 4.0/5 (84 download)
Download or read book Handbook of Asset and Liability Management written by Stavros A. Zenios and published by Elsevier. This book was released on 2006-07-17 with total page 509 pages. Available in PDF, EPUB and Kindle. Book excerpt: This first volume of the Handbook of Asset and Liability Management presents the theories and methods supporting models that align a firm's operations and tactics with its uncertain environment. Detailing the symbiosis between optimization tools and financial decision-making, its original articles cover term and volatility structures, interest rates, risk-return analysis, dynamic asset allocation strategies in discrete and continuous time, the use of stochastic programming models, bond portfolio management, and the Kelly capital growth theory and practice. They effectively set the scene for Volume Two by showing how the management of risky assets and uncertain liabilities within an integrated, coherent framework remains the core problem for both financial institutions and other business enterprises as well. *Each volume presents an accurate survey of a sub-field of finance*Fills a substantial gap in this field*Broad in scope
Author : Thomas S. Y. Ho
Publisher : Oxford University Press
ISBN 13 : 0199923981
Total Pages : 762 pages
Book Rating : 4.1/5 (999 download)
Download or read book The Oxford Guide to Financial Modeling written by Thomas S. Y. Ho and published by Oxford University Press. This book was released on 2004-01-15 with total page 762 pages. Available in PDF, EPUB and Kindle. Book excerpt: The essential premise of this book is that theory and practice are equally important in describing financial modeling. In it the authors try to strike a balance in their discussions between theories that provide foundations for financial models and the institutional details that provide the context for applications of the models. The book presents the financial models of stock and bond options, exotic options, investment grade and high-yield bonds, convertible bonds, mortgage-backed securities, liabilities of financial institutions--the business model and the corporate model. It also describes the applications of the models to corporate finance. Furthermore, it relates the models to financial statements, risk management for an enterprise, and asset/liability management with illiquid instruments. The financial models are progressively presented from option pricing in the securities markets to firm valuation in corporate finance, following a format to emphasize the three aspects of a model: the set of assumptions, the model specification, and the model applications. Generally, financial modeling books segment the world of finance as "investments," "financial institutions," "corporate finance," and "securities analysis," and in so doing they rarely emphasize the relationships between the subjects. This unique book successfully ties the thought processes and applications of the financial models together and describes them as one process that provides business solutions. Created as a companion website to the book readers can visit www.thomasho.com to gain deeper understanding of the book's financial models. Interested readers can build and test the models described in the book using Excel, and they can submit their models to the site. Readers can also use the site's forum to discuss the models and can browse server based models to gain insights into the applications of the models. For those using the book in meetings or class settings the site provides Power Point descriptions of the chapters. Students can use available question banks on the chapters for studying.
Author : Xueping Wu
Publisher :
ISBN 13 :
Total Pages : 52 pages
Book Rating : 4.:/5 (318 download)
Download or read book A New Stochastic Duration Measure by the Vasicek an CIR Term Structure Theories written by Xueping Wu and published by . This book was released on 1996 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:
