Research Catalog

Advanced fixed income analytics

Title
Advanced fixed income analytics / Wesley Phoa, with contributions from Michael Shearer.
Author
Phoa, Wesley.
Publication
New Hope, Penn. : Frank J. Fabozzi Associates, [1998], ©1998.

Items in the Library & Off-site

Filter by

1 Item

StatusFormatAccessCall NumberItem Location
Request for On-site UseRequest Scan
How do I pick up this item and when will it be ready?
TextRequest in advance HG4529.5 .P555 1998gOff-site

Holdings

Details

Additional Authors
  • Shearer, Michael.
  • Frank J. Fabozzi Associates.
Description
viii, 229 pages : illustrations; 24 cm
Subject
  • Portfolio management
  • Fixed-income securities
  • Bond market
Bibliography (note)
  • Includes bibliograpical references and index.
Contents
1. An Empirical Analysis of Yield Curve Dynamics -- 2. Term Structure Models: A Portfolio Manager's Guide -- 3. Quantitative Approaches to Inflation-Indexed Bonds -- 4. Long Bond Pricing Paradoxes and Long-Term Yields -- 5. Prepayment Analysis and Prepayment Model Risk -- 6. Measures of Non Yield Curve Risk and Risk/Return -- 7. Risk Measurement and Performance Attribution.
ISBN
1883249341
OCLC
ocm39795816
Owning Institutions
Columbia University Libraries