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- catalog contributor b12963325.
- catalog created "c2002.".
- catalog date "2002".
- catalog date "c2002.".
- catalog dateCopyrighted "c2002.".
- catalog description "Includes bibliographical references and index.".
- catalog description "Interest rate models / Oren Cheyette -- The four faces of an interest rate model / Peter Fitton and James F. McNatt -- A review of no arbitrage interest rate models / Gerald W. Buetow, Frank J. Fabozzi, and James Sochacki -- An introductory guide to analyzing and interpreting the yield curve / Moorad Choudhry -- Term structure modeling / David Audley, Richard Chin, and Shrikant Ramamurthy -- A practical guide to swap curve construction / Uri Ron -- Fitting the term structure of interest rates using the cubic spline methodology / Rod Pienaar and Moorad Choudhry -- Measuring and forecasting yield volatility / Frank J. Fabozzi and Wai Lee -- Term structure factor models / Robert C. Kuberek -- Multi-factor risk models and their applications / Lev Dynkin and Jay Hyman -- Measuring plausibility of hypothetical interest rate shocks / Bennett W. Golub and Leo M. Tilman -- Understanding the building blocks for OAS models / Philip O. Obazee -- Yield curves and valuation lattices : a primer / Frank J. Fabozzi, Andrew Kalotay, and Michael Dorigan -- Using the lattice model to value bonds with embedded options, floaters, options, and caps/floors / Frank J. Fabozzi, Andrew Kalotay, and Michael Dorigan -- Using the lattice model to value forward start swaps and swaptions / Gerald W. Buetow, Jr. and Frank J. Fabozzi -- Valuing path-dependent securities / C. Douglas Howard -- Monte Carlo simulation/OAS approach to valuing residential real estate-backed securities / Frank J. Fabozzi, Scott F. Richard, and David S. Horowitz -- Mortgage pricing on low-dimensional grids / Alexander Levin -- The effect of mean reversion on the valuation of embedded options and OAS / David Audley and Richard Chin.".
- catalog extent "xiii, 514 p. :".
- catalog identifier "0471220949".
- catalog isPartOf "The Frank J. Fabozzi series".
- catalog issued "2002".
- catalog issued "c2002.".
- catalog language "eng".
- catalog publisher "Hoboken, N.J. : Wiley,".
- catalog subject "332.6320151 21".
- catalog subject "Derivative securities Valuation Mathematical models.".
- catalog subject "Fixed-income securities Valuation Mathematical models.".
- catalog subject "HG4650 .I57 2002".
- catalog subject "Interest rate futures Valuation Mathematical models.".
- catalog subject "Interest rates Mathematical models.".
- catalog tableOfContents "Interest rate models / Oren Cheyette -- The four faces of an interest rate model / Peter Fitton and James F. McNatt -- A review of no arbitrage interest rate models / Gerald W. Buetow, Frank J. Fabozzi, and James Sochacki -- An introductory guide to analyzing and interpreting the yield curve / Moorad Choudhry -- Term structure modeling / David Audley, Richard Chin, and Shrikant Ramamurthy -- A practical guide to swap curve construction / Uri Ron -- Fitting the term structure of interest rates using the cubic spline methodology / Rod Pienaar and Moorad Choudhry -- Measuring and forecasting yield volatility / Frank J. Fabozzi and Wai Lee -- Term structure factor models / Robert C. Kuberek -- Multi-factor risk models and their applications / Lev Dynkin and Jay Hyman -- Measuring plausibility of hypothetical interest rate shocks / Bennett W. Golub and Leo M. Tilman -- Understanding the building blocks for OAS models / Philip O. Obazee -- Yield curves and valuation lattices : a primer / Frank J. Fabozzi, Andrew Kalotay, and Michael Dorigan -- Using the lattice model to value bonds with embedded options, floaters, options, and caps/floors / Frank J. Fabozzi, Andrew Kalotay, and Michael Dorigan -- Using the lattice model to value forward start swaps and swaptions / Gerald W. Buetow, Jr. and Frank J. Fabozzi -- Valuing path-dependent securities / C. Douglas Howard -- Monte Carlo simulation/OAS approach to valuing residential real estate-backed securities / Frank J. Fabozzi, Scott F. Richard, and David S. Horowitz -- Mortgage pricing on low-dimensional grids / Alexander Levin -- The effect of mean reversion on the valuation of embedded options and OAS / David Audley and Richard Chin.".
- catalog title "Interest rate, term structure, and valuation modeling / Frank J. Fabozzi, editor.".
- catalog type "text".