This book is tightly focused on the pricing and hedging of fixed income securities and their
derivatives. It is targeted at those who are interested in trading these instruments in an …

We examine term structure theories by using a novel approach. We form bond investment
strategies based on different theories of the term structure in order to determine which …

Loan pricing is an extremely important aspect of bank operations because loans are
typically over two-thirds of bank assets. Many researchers have analyzed the theoretical and …

The active management of a portfolio should not be appreciated only in terms of excess
profitability vis-à-vis a reference benchmark. It is part of a complete process where a …

Evidence of predictability of financial time series along with recent advances in modeling
time dependent conditional variance clearly call for incorporating such theory into …

This book discusses important aspects of fixed income securities in emerging economies.
Key features• Clarifies all conceptual and analytical aspects of fixed income securities and …

We examine term structure theories by using a novel approach. We form bond investment
strategies based on different theories of the term structure in order to determine which …

债券是固定收益产品中的主要类型, 是与股票并驾齐驱的两大基础金融产品之一.
债券有着明确的期限和相对确定的现金流, 因此适合于厌恶风险和喜欢有稳定现金流的投资者 …

A general theoretical framework is proposed to analyse Flight-to-Quality events, defined as a
mass investment migration from risky to safe assets. The model consists of only two asset …

This dissertation proposes a dynamic programming model for a fixed income optimization
problem that involves multiple scenarios. The result is a model that can be used by investors …