Relevant bibliographies by topics / Fixed-income securities – Mathematics

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  1. Journal articles
  2. Dissertations / Theses
  3. Books
  4. Book chapters

Academic literature on the topic 'Fixed-income securities – Mathematics'

Author: Grafiati
Published: 28 July 2024
Last updated: 31 July 2025

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Journal articles on the topic "Fixed-income securities – Mathematics"

1

Goel, M., and K. S. Kumar. "Risk-Sensitive Portfolio Optimization Problems with Fixed Income Securities." Journal of Optimization Theory and Applications 142, no. 1 (2009): 67–84. http://dx.doi.org/10.1007/s10957-009-9546-z.

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Briggs, John, and Ejike Nwankpa. "EVALUATION OF THE PERFORMANCE OF COLLECTIVE INVESTMENT SCHEMES IN NIGERIA." International Journal of Development Strategies in Humanities, Management and Social Sciences 12, no. 2 (2022): 34–45. http://dx.doi.org/10.48028/iiprds/ijdshmss.v12.i2.03.

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This paper examined the performance of thirteen (13) large-size money market funds in Nigeria based on the net asset values (NAV) as at 31 December 2021. Mutual fund data were obtained from the website of Securities and Exchange Commission, 91-day treasury bills true yield and stop rates which served as proxy for benchmark index and risk-free rates respectively from Central Bank of Nigeria statistical bulletin while returns yielded by the funds were obtained from the audited accounts and factsheets of the mutual funds. The performance evaluation was carried out using Sharpe ratio, Treynor rati
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Dissertations / Theses on the topic "Fixed-income securities – Mathematics"

1

Safonov, Dmitrij. "Besivystančių europos šalių skolos vertybinių popierių pajamingumų pokyčių analizė bei prognozavimas." Master's thesis, Lithuanian Academic Libraries Network (LABT), 2010. http://vddb.laba.lt/obj/LT-eLABa-0001:E.02~2010~D_20100622_150500-94666.

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Darbe atlikta detali aktualių straipsnių, nagrinėjančių įvairių veiksnių įtaka skolos vertybinių popierių pajamingumui, apžvalga. Išskirti keli pagrindiniai pajamingumo pokyčius lemiantys veiksniai: likvidumas, kredito rizika bei bendra makroekonominė padėtis. Siekiant įvertinti nagrinėjamų veiksnių įtaką skolos vertybinių popierių pajamingumo pokyčiams, sukurti vektorinės autoregresijos modeliai skolos vertybinių popierių portfeliams, apibendrinantiems skirtingas skolos vertybinių popierių klases. Palyginus modeliavimo rezultatus, pateikiamos baigiamojo darbo išvados. Darbą sudaro 18 dalių: į
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2

Karoui, Lotfi. "Three essays on fixed income markets." Thesis, McGill University, 2007. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=103203.

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This thesis comprises three essays that explore several theoretical and empirical features of affine term structure models. In the first essay, we focus on the ability of continuous-time affine term structure models to capture time variability in the second conditional moment. Using data on US Treasury yields, we conclude that affine term structure models are much better at extracting time-series volatility from the cross-section of yields than argued in the literature. These models have nonetheless difficulty capturing volatility dynamics at the short end of the maturity spectrum, perhaps ind
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3

Li, Xiaofei 1972. "Three essays on the pricing of fixed income securities with credit risk." Thesis, McGill University, 2004. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=84523.

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This thesis studies the impacts of credit risk, or the risk of default, on the pricing of fixed income securities. It consists of three essays. The first essay extends the classical corporate debt pricing model in Merton (1974) to incorporate stochastic volatility (SV) in the underlying firm asset value and derive a closed-form solution for the price of corporate bond. Simulation results show that the SV specification for firm asset value greatly increases the resulting credit spread levels. Therefore, the SV model addresses one major deficiency of the Merton-type models: namely, at sho
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4

"Pricing and risk management of fixed income securities and their derivatives." Thesis, 2001. http://library.cuhk.edu.hk/record=b6073925.

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In the first essay, this thesis provides a new methodology for pricing the fixed income derivatives using the arbitrage-free Heath-Jarrow-Morton model (hereafter HJM model). While, most previous empirical implementations of HJM model like that by Amin and Morton (1994) are focused on one-factor model only, the essay attempts to extend the test to a two-factor model that could further capture the subtleties of the forward rate process. The two-factor Poisson-Gaussian version of HJM model derived by Das (1999) that incorporates a jump component as the second state variables is used to value the
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Books on the topic "Fixed-income securities – Mathematics"

1

Fabozzi, Frank J. Fixed income mathematics. Probus, 1993.

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Choudhry, Moorad. Fixed income markets: Instruments, applications, mathematics. Wiley, 2005.

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Fabozzi, Frank J. Fixed income mathematics: Analytical & statistical techniques. Probus Pub. Co., 1993.

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Fabozzi, Frank J. Fixed income mathematics: Analytical & statistical techniques. 4th ed. McGraw-Hill, 2005.

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Mayle, Jan. Standard securities calculation methods: Fixed income securities formulas for price, yield, and accrued interest. 3rd ed. Securities Industry Association, 1993.

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Stigum, Marcia L. Fixed income calculations: Money market paper and bonds. Irwin Professional Pub., 1994.

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7

Henderson, Tamara Mast. Fixed Income Strategy. John Wiley & Sons, Ltd., 2004.

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8

Wise, Mark B. Fixed income finance: A quantitative approach. McGraw-Hill, 2010.

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9

Ramaswamy, Srichander. Global asset allocation in fixed income markets. Bank for International Settlements, Monetary and Economic Dept., 1997.

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Jegadeesh, Narasimhan. Advanced fixed-income valuation tools. Wiley, 2000.

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Book chapters on the topic "Fixed-income securities – Mathematics"

1

Korn, Ralf, and Bernd Luderer. "No Risk, No Fun! Risk Indicators of Fixed-Income Securities." In Money and Mathematics. Springer Fachmedien Wiesbaden, 2021. http://dx.doi.org/10.1007/978-3-658-34677-5_32.

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Zipf, Robert. "Mortgage-backed securities." In Fixed Income Mathematics. Elsevier, 2003. http://dx.doi.org/10.1016/b978-012781721-7.50021-3.

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Zipf, Robert. "Calculations for other securities." In Fixed Income Mathematics. Elsevier, 2003. http://dx.doi.org/10.1016/b978-012781721-7.50010-9.

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