Measuring the Non-linearity of Fixed Income SecuritiesSalomon Brothers Center for the Study of Financial Institutions, Leonard N. Stern School of Business, New York University, 1996 - 23 Seiten |
Häufige Begriffe und Wortgruppen
100 basis points 1991 Jean Dermine 1994 Nicholas Economides Actual/Effective Maturity Altman American Options Analysis Anthony Saunders April Aswath Damodaran August Bank basis point shift Berger and Gregory binomial tree bond's bonds with embedded Bruce Tuckman bullet bonds calculated Callable Bond Corporate Bond coupon Deutsche Morgan Grenfell down-tick duration and convexity Edward effective convexity effective duration embedded options expected maturity date February fixed income securities forward rates full price Gregory F High Yield Bonds Ingo Walter interest rate tree issuer January Jesper Christensen Jianping Mei July June Lawrence Li Kao Marti G Martin D.D. Evans mdur measure Model modified duration Mutual Fund November portfolio price change price function price-yield curve ratio Richard Risk second derivative Senbet Silverio Foresi spot rates Stapleton and Marti Stephen Figlewski Structure of Interest Subrahmanyam Term Structure Udell up-tick Volatility yield change Yield Curve yield to maturity zero coupon bond