Fixed Income Finance: A Quantitative Approach: A Quantitative Approach

Hardcover | January 13, 2010

byMark Wise, Vineer Bhansali

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A complete guide forprofessionals with advancedmathematical skills but little orno financial knowledge . . .

You’re smart. Logical. Mathematicallyadept. One of those people who canmake quick work of long, difficult equations.But when it comes to managing a financialportfolio and managing risk, you wonder ifyou’re missing out.

Fixed Income Finance is the book for you.It’s the perfect introduction to the concepts,formulas, applications, and methodology,all derived from first principles, that youneed to succeed in the world of quantitativefinance—with a special emphasis on fixedincomes. Written by two of the sharpest analyticalminds in their fields, this instructiveguide takes you through the basics of fixedincome finance, including many new andoriginal results, to help you understand:

  • Treasury Bonds and the Yield Curve
  • The Macroeconomics behind TermStructure Models
  • Structural Models for CorporateBonds and Portfolio Diversification
  • Options
  • Fixed Income Derivatives
  • Numerical Techniques

    Filled with step-by-step equations, clearand concise concepts, and ready-to-useformulas, this essential workbook bridges thegap between basic beginners’ primers andmore advanced surveys to provide hands-on tools you can begin to use immediately. It’s allyou need to put your math skills to work—and make the money work for you.

    Brilliantly researched, impeccably detailed,and thoroughly comprehensive, Fixed IncomeFinance is applied mathematics at its best andmost useful.

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From the Publisher

A complete guide forprofessionals with advancedmathematical skills but little orno financial knowledge . . .You’re smart. Logical. Mathematicallyadept. One of those people who canmake quick work of long, difficult equations.But when it comes to managing a financialportfolio and managing risk, you wonder ifyou’re missing out.Fixed Incom...

From the Jacket

If you have a talent for math, you've got a head start on building wealth . . .A hands-on user’s guide to the world of quantitative finance, this much-neededbook shows you how to apply your advanced mathematical skills to a vast arrayof financial opportunities available to those investing in fixed income. Written by twoanalytical exper...

Mark Wise is the John A. McCone Professor of High Energy Physics at the California Institute of Technology. He is the winner of the 2001 J.J. Sakurai Prize of the American Physical Society and a member of the American Academy of Arts and Sciences and National Academy of Sciences. He is also the coauthor of Heavy Qu...

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Format:HardcoverDimensions:256 pages, 9.3 × 6.3 × 0.87 inPublished:January 13, 2010Publisher:McGraw-Hill EducationLanguage:English

The following ISBNs are associated with this title:

ISBN - 10:0071621202

ISBN - 13:9780071621205

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Table of Contents

Section 1: Bond Basics: Treasury bonds and the Yield Curve/Corporate Bonds and Credit Risk/ Derivatives/ Mortgages/ Municipal Bonds/Real Return Bonds

Section 2: Probability Theory and Stochastic Processes:Normal Random Variables/The Central Limit Theory/ The Probability Distribution for Corporate Bonds Returns/ Correlated Random Variables/ Random Walks/Survival Probabilities/ Correlated Random Walks/Simulation

Section 3: Term Structure Models: One Factor Models and Two Factor Models/Bond Prices, Volatilities/Eurodollar Futures/Futures and Forward Contracts/ Macroeconomics and Two Factor Models

Section 4: Options: Call and Put Options on a Stock/The Merton Model/Options on Interest Rate Sensitive SecuritiesSection 5: Portfolio Allocation: Utility Functions/The Sharpe Ratio/Beyond Mean and Variance/ Value at Risk/ Examples