Author: Shang-Wu Yu
Publisher:
ISBN: OCLC:1291267735
Category:
Page:
View: 177
The quality options for Japanese Government Bond Futures contracts are analyzed using a discrete trinomial lattice approach based on a two-factor Heath, Jarrow and Morton (1990b) model. The impacts of the quality option on hedging effectiveness are investigated. In general, the pure quality option is found to be relatively small and, while the option does not have a dramatic impact upon hedging, accounting for the quality option can improve the performance of optimal hedging strategies.
Author: Suresh Sundaresan
Publisher: Academic Press
ISBN: 9780080919331
Category: Business & Economics
Page: 456
View: 660
The third edition of this well-respected textbook continues the tradition of providing clear and concise explanations for fixed income securities, pricing, and markets. Fixed Income Markets and Their Derivatives matches well with fixed income securities courses. The book's organization emphasizes institutions in the first part, analytics in the second, selected segments of fixed income markets in the third, and fixed income derivatives in the fourth. This enables instructors to customize the material to suit their course structure and the mathematical ability of their students. New material on Credit Default Swaps, Collateralized Debt Obligations, and an intergrated discussion of the Credit Crisis have been added Online Resources for instructors on password protected website provides worked out examples for each chapter A detailed description of all key financial terms is provided in a glossary at the back of the book
Author: J. Peter Williamson
Publisher: John Wiley & Sons
ISBN: 0471815624
Category: Business & Economics
Page: 592
View: 204
This edited volume offers thorough coverage of the business of investment banking, including much inside information based on the extensive professional experience of the contributors. Comprising 32 chapters, covering every facet of investment banking, from its historical origins in the U.S. to the current high-dollar activity in mergers and acquisitions. Contributors are noted businessmen and academics from the U.S., Canada, Europe, and Japan. Chapters fall into eight sections: investment banking today, raising capital, transactional activities, specialized financial instruments, tax-exempt financing, broker activities, commercial banks and investment banking, and investment banking outside the United States. Raising capital is traditionally what investment banking is all about, and the Handbook explains who does it and how it's done.
Author: British Library of Political and Economic Science
Publisher: Psychology Press
ISBN: 0415240093
Category: Business & Economics
Page: 660
View: 708
IBSS is the essential tool for librarians, university departments, research institutions and any public or private institution whose work requires access to up-to-date and comprehensive knowledge of the social sciences
Author: Alexander During
Publisher: John Wiley & Sons
ISBN: 9781119756347
Category: Business & Economics
Page: 464
View: 110
A unique, authoritative, and comprehensive treatment of fixed income markets Fixed Income Trading and Risk Management: The Complete Guide delivers a comprehensive and innovative exposition of fixed income markets. Written by European Central Bank portfolio manager Alexander During, this book takes a practical view of how several different national fixed income markets operate in detail. The book presents common theoretical models but adds a lot of information on the actually observed behavior of real markets. You’ll benefit from the book’s: Fulsome overview of money, credit, and monetary policy Description of cash instruments, inflation-linked debt, and credit claims Analysis of derivative instruments, standard trading strategies, and data analysis In-depth focus on risk management in fixed income markets Perfect for new and junior staff in financial institutions working in sales and trading, risk management, back office operations, and portfolio management positions, Fixed Income Trading and Risk Management also belongs on the bookshelves of research analysts and postgraduate students in finance, economics, or MBA programs.
Author: Tomasz R. Bielecki
Publisher: Springer Science & Business Media
ISBN: 9783662048214
Category: Business & Economics
Page: 501
View: 519
The motivation for the mathematical modeling studied in this text on developments in credit risk research is the bridging of the gap between mathematical theory of credit risk and the financial practice. Mathematical developments are covered thoroughly and give the structural and reduced-form approaches to credit risk modeling. Included is a detailed study of various arbitrage-free models of default term structures with several rating grades.