5/04/2012

Fixed Income Analytics: State-Of-The-Art Debt Analysis and Valuation Modeling Review

Fixed Income Analytics: State-Of-The-Art Debt Analysis and Valuation Modeling
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Provides a solid foundation in fixed income analytics.
Table of contents includes:
1. Introduction
2. The Yield Curve
3. Parametric Analysis of Fixed Income Securities
4. The Yield Surface
5. Valuing Debt Securities Under Uncertainty: The Option-Adjusted Spread Model
6. Risk-Adjusted Measurement (RAM): A Replacement for OAS Models
7. Structure and Value in Regular Bonds
8. Simulation Methods for the Evaluation of Option Models
9. Immunixation-Based Duration: A New Concept for Mortgage Securities
10. The Change in the Cheapest-to-Deliver in Bond and Note Futures (Implicit versus Explicit Option Values)
11. Multifactor Immunization
12. Techniques for Hedging a Future Debt Issuance


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