Research Catalog

Title

Fixed-income investment : recent research / edited by Thomas S.Y. Ho.

Publication

Burr Ridge, Ill. : Irwin Professional Pub., [1995], ©1995.

Items in the Library & Off-site

Details

Additional Authors

• Ho, Thomas S. Y.
• GAT Fixed-Income Conference (2nd : 1993 : Tucson, Ariz.)

Description

xvii, 229 pages : illustrations; 24 cm

Summary

• Fixed-income Investment brings you the recent research about fixed-income securities, including advances in investment technologies. Managers of investment portfolios and asset/liability managers will find these insights invaluable in today's volatile investment climate.
• Here is a probing look of the latest risk valuation and analysis techniques, including stochastic models of prepayments along interest rate paths, decomposition of option-embedded securities into their "primitive" parts, a consistent framework for evaluating corporate debt and equity.
• Fixed-income Investment also examines new approaches to structured portfolio management, including how pathwise immunization helps standardize the behavior of portfolios under different interest-rate scenarios, bond dynamic hedging using a return attribution system, optimization techniques combined with stochastic horizon analysis and more.

Subjects

• Investments > United States
• Fixed-income securities > United States

Note

• "Proceedings from the second annual GAT conference."
• "The GAT Fixed-Income Conference, held in Tucson, Arizona, in 1993"--Pref.

Bibliography (note)

• Includes bibliographical references.

Contents

Ch. 1. Analyzing Prepayment and Credit Risk for Mortgage Securities / Lakhbir Hayre -- Ch. 2. Primitive Securities: Portfolio Building Blocks / Thomas Ho -- Ch. 3. Corporate Bond Valuations (And Their Relation to Equity Prices) / Frank Jones -- Ch. 4. Immunization Strategy and Pathwise Valuation / Duen-Li Kao and Yury G. Geyman -- Ch. 5. Structured Asset/Liability and Arbitrage Strategies / Matthew Clayton Modisett -- Ch. 6. Bond Dynamic Hedging and Return Attribution / William F. McCoy -- Ch. 7. IARs, Prepayment-linked Swaps and CMOs: How Do You Judge Value? / Laurie Goodman -- Ch. 8. Amortising Interest Rate Swaps and the Bank Investment Process / Scott E. Grimshaw -- Ch. 9. Estimation of the Term Premium / David Tyson -- Ch. 10. Applying Optimization Techniques to Mortgage Portfolio Management / Paul T. Peterson -- Ch. 11. Optimal Asset Allocation With Institutional Constraints / Alfred Weinberger -- Ch. 12. An Analytic Approach to Asset/Liability Performance Measurement / Gerd Stabbert.

ISBN

0786302682

LCCN

94003521

OCLC

• 30703604
• ocm30703604

Owning Institutions

Columbia University Libraries