The Advanced Fixed Income and Derivatives Management Guide. (Record no. 44847)
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| 001 - CONTROL NUMBER | |
| control field | EBC1895916 |
| 003 - CONTROL NUMBER IDENTIFIER | |
| control field | MiAaPQ |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20240729123306.0 |
| 006 - FIXED-LENGTH DATA ELEMENTS--ADDITIONAL MATERIAL CHARACTERISTICS | |
| fixed length control field | m o d | |
| 007 - PHYSICAL DESCRIPTION FIXED FIELD--GENERAL INFORMATION | |
| fixed length control field | cr cnu|||||||| |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
| fixed length control field | 240724s2015 xx o ||||0 eng d |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 9781119014164 |
| Qualifying information | (electronic bk.) |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| Canceled/invalid ISBN | 9781119014140 |
| 035 ## - SYSTEM CONTROL NUMBER | |
| System control number | (MiAaPQ)EBC1895916 |
| 035 ## - SYSTEM CONTROL NUMBER | |
| System control number | (Au-PeEL)EBL1895916 |
| 035 ## - SYSTEM CONTROL NUMBER | |
| System control number | (CaPaEBR)ebr11052395 |
| 035 ## - SYSTEM CONTROL NUMBER | |
| System control number | (CaONFJC)MIL785555 |
| 035 ## - SYSTEM CONTROL NUMBER | |
| System control number | (OCoLC)905600456 |
| 040 ## - CATALOGING SOURCE | |
| Original cataloging agency | MiAaPQ |
| Language of cataloging | eng |
| Description conventions | rda |
| -- | pn |
| Transcribing agency | MiAaPQ |
| Modifying agency | MiAaPQ |
| 050 #4 - LIBRARY OF CONGRESS CALL NUMBER | |
| Classification number | HG4650 -- .S566 2015eb |
| 100 1# - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Simozar, Saied. |
| 245 14 - TITLE STATEMENT | |
| Title | The Advanced Fixed Income and Derivatives Management Guide. |
| 250 ## - EDITION STATEMENT | |
| Edition statement | 1st ed. |
| 264 #1 - PRODUCTION, PUBLICATION, DISTRIBUTION, MANUFACTURE, AND COPYRIGHT NOTICE | |
| Place of production, publication, distribution, manufacture | Newark : |
| Name of producer, publisher, distributor, manufacturer | John Wiley & Sons, Incorporated, |
| Date of production, publication, distribution, manufacture, or copyright notice | 2015. |
| 264 #4 - PRODUCTION, PUBLICATION, DISTRIBUTION, MANUFACTURE, AND COPYRIGHT NOTICE | |
| Date of production, publication, distribution, manufacture, or copyright notice | ©2015. |
| 300 ## - PHYSICAL DESCRIPTION | |
| Extent | 1 online resource (365 pages) |
| 336 ## - CONTENT TYPE | |
| Content type term | text |
| Content type code | txt |
| Source | rdacontent |
| 337 ## - MEDIA TYPE | |
| Media type term | computer |
| Media type code | c |
| Source | rdamedia |
| 338 ## - CARRIER TYPE | |
| Carrier type term | online resource |
| Carrier type code | cr |
| Source | rdacarrier |
| 490 1# - SERIES STATEMENT | |
| Series statement | The Wiley Finance Series |
| 505 0# - FORMATTED CONTENTS NOTE | |
| Formatted contents note | Cover -- Title Page -- Copyright -- Contents -- List of Tables -- List of Figures -- Abbreviations -- Notation -- Preface -- Acknowledgement -- Foreword -- About the Author -- Introduction -- Chapter 1 Review of Market Analytics -- 1.1 Bond Valuation -- 1.2 Simple Bond Analytics -- 1.3 Portfolio Analytics -- 1.4 Key Rate Durations -- Chapter 2 Term Structure of Rates -- 2.1 Linear and Non-linear Space -- 2.2 Basis Functions -- 2.3 Decay Coefficient -- 2.4 Forward Rates -- 2.5 Par Curve -- 2.6 Application to the US Yield Curve -- 2.7 Historical Yield Curve Components -- 2.8 Significance of the Term Structure Components -- 2.9 Estimating the Value of Decay Coefficient -- Chapter 3 Comparison of Basis Functions -- 3.1 Polynomial Basis Functions -- 3.2 Exponential Basis Functions -- 3.3 Orthogonal Basis Functions -- 3.4 Key Basis Functions -- 3.5 Transformation of Basis Functions -- 3.6 Comparison with the Principal Components Analysis -- 3.7 Mean Reversion -- 3.8 Historical Tables of Basis Functions -- Chapter 4 Risk Measurement -- 4.1 Interest Rate Risks -- 4.2 Zero Coupon Bonds Examples -- 4.3 Eurodollar Futures Contracts Examples -- 4.4 Conventional Duration of a Portfolio -- 4.5 Risks and Basis Functions -- 4.6 Application to Key Rate Duration -- 4.7 Risk Measurement of a Treasury Index -- Chapter 5 Performance Attribution -- 5.1 Curve Performance -- 5.2 Yield Performance -- 5.3 Security Performance -- 5.4 Portfolio Performance -- 5.5 Aggregation of Contribution to Performance -- Chapter 6 Libor and Swaps -- 6.1 Term Structure of Libor -- 6.2 Adjustment Table for Rates -- 6.3 Risk Measurement and Performance Attribution of Swaps -- 6.4 Floating Libor Valuation and Risks -- 6.5 Repo and Financing Rate -- 6.6 Structural Problem of Swaps -- Chapter 7 Trading -- 7.1 Liquidity Management -- 7.2 Forward Pricing -- 7.3 Curve Trading. |
| 505 8# - FORMATTED CONTENTS NOTE | |
| Formatted contents note | 7.4 Synthetic Securities -- 7.5 Real Time Trading -- Chapter 8 Linear Optimization and Portfolio Replication -- 8.1 Portfolio Optimization Example -- 8.2 Conversion to and from Conventional KRD -- 8.3 KRD and Term Structure Hedging -- Chapter 9 Yield Volatility -- 9.1 Price Function of Yield Volatility -- 9.2 Term Structure of Yield Volatility -- 9.3 Volatility Adjustment Table -- 9.4 Forward and Instantaneous Volatility -- Chapter 10 Convexity and Long Rates -- 10.1 Theorem: Long Rates Can Never Change -- 10.2 Convexity Adjusted TSIR -- 10.3 Application to Convexity -- 10.4 Convexity Bias of Eurodollar Futures -- Chapter 11 Real Rates and Inflation Expectations -- 11.1 Term Structure of Real Rates -- 11.2 Theorem: Real Rates Can't Have Log-normal Distribution -- 11.3 Inflation Linked (IL) Bonds -- 11.4 Seasonal Adjustments to Inflation -- 11.5 Inflation Swaps -- Chapter 12 Credit Spreads -- 12.1 Equilibrium Credit Spread -- 12.2 Term Structure of Credit Spreads -- 12.3 Risk Measurement of Credit Securities -- 12.4 Credit Risks Example -- 12.5 Floating Rate Credit Securities -- 12.6 TSCS Examples -- 12.7 Relative Values of Credit Securities -- 12.8 Performance Attribution of Credit Securities -- 12.9 Term Structure of Agencies -- 12.10 Performance Contribution -- 12.11 Partial Yield -- Chapter 13 Default and Recovery -- 13.1 Recovery, Guaranty and Default Probability -- 13.2 Risk Measurement with Recovery -- 13.3 Partial Yield of Complex Securities -- 13.4 Forward Coupon -- 13.5 Credit Default Swaps -- Chapter 14 Deliverable Bond Futures and Options -- 14.1 Simple Options Model -- 14.2 Conversion Factor -- 14.3 Future's Price on Delivery Date -- 14.4 Future's Price Prior to Delivery Date -- 14.5 Early Delivery vs Late Delivery -- 14.6 Strike Prices of the Underlying Options -- 14.7 Risk Measurement of Bond Futures -- 14.8 Analytics for Bond Futures. |
| 505 8# - FORMATTED CONTENTS NOTE | |
| Formatted contents note | 14.9 Australian Bond Futures -- 14.10 Replication of Bond Futures -- 14.11 Back Testing of Bond Futures -- Chapter 15 Bond Options -- 15.1 European Bond Options -- 15.2 Exercise Boundary of American Options -- 15.3 Present Value of a Future Bond Option -- 15.4 Feed Forward Pricing -- 15.5 Bond Option Greeks -- 15.6 Risk Measurement of Bond Options -- 15.7 Treasury and Real Bonds Options -- 15.8 Bond Options With Credit Risk -- 15.9 Theorem: Credit Prices Are Not Arbitrage Free -- 15.10 Correlation Model -- 15.11 Credit Bond Options Examples -- 15.12 Risk Measurement of Complex Bond Options -- 15.13 Remarks on Bond Options -- Chapter 16 Currencies -- 16.1 Currency Forwards -- 16.2 Currency as an Asset Class -- 16.3 Currency Trading and Hedging -- 16.4 Valuation and Risks of Currency Positions -- 16.5 Currency Futures -- 16.6 Currency Options -- Chapter 17 Prepayment Model -- 17.1 Home Sale -- 17.2 Refinancing -- 17.3 Accelerated Payments -- 17.4 Prepayment Factor -- Chapter 18 Mortgage Bonds -- 18.1 Mortgage Valuation -- 18.2 Current Coupon -- 18.3 Mortgage Analytics -- 18.4 Mortgage Risk Measurement and Valuation -- Chapter 19 Product Design and Portfolio Construction -- 19.1 Product Analyzer -- 19.2 Portfolio Analyzer -- 19.3 Competitve Universe -- 19.4 Portfolio Construction -- Chapter 20 Calculating Parameters of the TSIR -- 20.1 Optimizing TSIR -- 20.2 Optimizing TSCR -- 20.3 Optimizing TSCR with No Convexity -- 20.4 Estimating Recovery Value -- 20.5 Robustness of the Term Structure Components -- 20.6 Calculating the Components of the TSYV -- Chapter 21 Implementation -- 21.1 Term Structure -- 21. 1.1 Primary Curve -- 21. 1.2 Real Curve -- 21. 1.3 Credit Curve and Recovery Value -- 21.2 Discount Function and Risk Measurement -- 21.3 Cash Flow Engine -- 21.4 Invoice Price -- 21.5 Analytics -- 21.6 Trade Date Vs. Settle Date. |
| 505 8# - FORMATTED CONTENTS NOTE | |
| Formatted contents note | 21.7 American Options -- 21.8 Linear Programming -- 21.9 Mortgage Analysis -- References -- Index -- EULA. |
| 588 ## - SOURCE OF DESCRIPTION NOTE | |
| Source of description note | Description based on publisher supplied metadata and other sources. |
| 590 ## - LOCAL NOTE (RLIN) | |
| Local note | Electronic reproduction. Ann Arbor, Michigan : ProQuest Ebook Central, 2024. Available via World Wide Web. Access may be limited to ProQuest Ebook Central affiliated libraries. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name entry element | Fixed-income securities. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name entry element | Derivative securities. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name entry element | Portfoliio management. |
| 655 #4 - INDEX TERM--GENRE/FORM | |
| Genre/form data or focus term | Electronic books. |
| 776 08 - ADDITIONAL PHYSICAL FORM ENTRY | |
| Relationship information | Print version: |
| Main entry heading | Simozar, Saied |
| Title | The Advanced Fixed Income and Derivatives Management Guide |
| Place, publisher, and date of publication | Newark : John Wiley & Sons, Incorporated,c2015 |
| International Standard Book Number | 9781119014140 |
| 797 2# - LOCAL ADDED ENTRY--CORPORATE NAME (RLIN) | |
| Corporate name or jurisdiction name as entry element | ProQuest (Firm) |
| 830 #4 - SERIES ADDED ENTRY--UNIFORM TITLE | |
| Uniform title | The Wiley Finance Series |
| 856 40 - ELECTRONIC LOCATION AND ACCESS | |
| Uniform Resource Identifier | <a href="https://ebookcentral.proquest.com/lib/orpp/detail.action?docID=1895916">https://ebookcentral.proquest.com/lib/orpp/detail.action?docID=1895916</a> |
| Public note | Click to View |
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