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CITATION

Fabozzi, Frank J. and Fabozzi, Francesco. Fixed Income Mathematics, Fifth Edition: Analytical and Statistical Techniques. New York: McGraw Hill LLC, 2022.

Fixed Income Mathematics, Fifth Edition: Analytical and Statistical Techniques

Authors: Frank J. Fabozzi and Francesco Fabozzi

Published:  September 2022 Pages: 608

eISBN: 9781264258284 | ISBN: 9781264258277
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  • Cover
  • Title Page
  • Copyright Page
  • Dedication
  • Contents
  • Preface
  • Fifth Versus Fourth Edition
  • Acknowledgments
  • Chapter 1: Introduction
  • PART ONE TIME VALUE OF MONEY
  • Chapter 2: Future Value
  • Chapter 3: Present Value
  • Chapter 4: Yield (Internal Rate of Return)
  • PART TWO BOND PRICING FOR OPTION-FREE BONDS AND CONVENTIONAL YIELD MEASURES
  • Chapter 5: The Price of a Bond
  • Chapter 6: Bond Yield Measures
  • Chapter 7: The Yield Curve, Spot-Rate Curve, and Forward Rates
  • PART THREE RETURN ANALYSIS AND RETURN MEASURES
  • Chapter 8: Potential Sources of Dollar Return
  • Chapter 9: Total Return
  • Chapter 10: Historical Return Measures
  • Chapter 11: Risk-Adjusted Returns/Reward-Risk Ratios
  • PART FOUR PRICE VOLATILITY FOR OPTION-FREE BONDS
  • Chapter 12: Price Volatility Properties of Option-Free Bonds
  • Chapter 13: Duration as a Measure of Price Volatility
  • Chapter 14: Combining Duration and Convexity to Measure Price Volatility
  • Chapter 15: Duration and the Yield Curve
  • Chapter 16: Empirical Duration
  • PART FIVE HISTORICAL RETURN AND YIELD VOLATILITY
  • Chapter 17: Measuring Historical Return Volatility
  • Chapter 18: Measuring and Forecasting Yield Volatility
  • PART SIX ANALYZING BONDS WITH EMBEDDED OPTIONS
  • Chapter 19: Interest-Rate Modeling
  • Chapter 20: Call Options: Investment and Price Characteristics
  • Chapter 21: Valuation and Price Volatility of Bonds with Embedded Options
  • Chapter 22: Analysis of Floating-Rate Securities
  • PART SEVEN CREDIT AND LIQUIDITY CONCEPTS
  • Chapter 23: Credit Risk Concepts and Measures
  • Chapter 24: Measuring Bond Liquidity
  • PART EIGHT ANALYZING SECURITIZED PRODUCTS
  • Chapter 25: Cash-Flow Characteristics of Fixed-Rate Amortizing Mortgage Loans
  • Chapter 26: Cash-Flow Characteristics of Mortgage-Backed Securities
  • Chapter 27: Analysis of Agency Mortgage-Backed Securities
  • PART NINE PERFORMANCE ANALYSIS
  • Chapter 28: Holdings-Based Performance Attribution Analysis
  • Chapter 29: Returns-Based Style Attribution Analysis
  • PART TEN STATISTICAL AND OPTIMIZATION TECHNIQUES
  • Chapter 30: Probability Distributions and Statistics
  • Chapter 31: Regression and Principal Component Analysis
  • Chapter 32: Multifactor Risk Models and Their Application to Portfolio Construction
  • Chapter 33: Monte Carlo Simulation
  • Chapter 34: Optimization Models
  • Chapter 35: Machine Learning
  • Index