Fixed Income Mathematics: Analytical & Statistical Techniques

by Frank J. Fabozzi

Provides the basics of fixed income analysis, and also the more advanced techniques used by the professionals to value the increasingly complex fixed income securities now being traded. In depth coverage of the mathematical techniques available as well as specific applications for their use in real-world investment decision-making situations. Topics new analytical techniques to value fixed income securities with embedded options; increases coverage of mortgage-backed securities; statistical analysis and its applications to fixed income analysis; how optimization techniques are used to structure fixed income portfolio strategies.

Genres: Finance, Textbooks, Nonfiction

400 pages, Hardcover

First published January 1, 1988

About the author

Frank J. Fabozzi is a Professor in the Practice of Finance and Becton Fellow in the Yale School of Management. He is well known as the author of numerous books on finance, both practitioner-focused and academic. Professor Frank J. Fabozzi will be joining Edhec Risk Institute on August 1, 2011. EDHEC-Risk Institute is part of EDHEC Business School, one of Europe’s leading business schools.

Reviews

[Andrew Herron]

Looks like it's going to be a scorcher....