Re: 可以推薦一本債券市場的教科書嗎？
看板CFAiafeFSA (精算師/基金經理人/銀行家)作者JilSander (阿甘先發 狂牛必勝)時間20年前 (2005/04/14 18:45)推噓0(0推 0噓 0→)留言0則, 0人參與討論串3/3 (看更多)
: : 希望是中文的說
: : 這算是是貨幣銀行學嗎？
: : 還是利率市場呢？
: 我幫我老闆打一下廣告好了...
那我也幫我老闆打一下廣告好囉!!
Pricing and hedging interest & credit risk sensitive instruments
Frank Skinner
內容淺顯易懂,英文寫得很簡單!!
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 investment bank,
but is also useful for those responsible for monitoring compliance
of the traders such as regulators, back office staff, middle
and senior lever managers. To broaden its appeal, this book lowers
the barriers to learning by keeping math to a minimum and
by illustrating concepts through detailed numerical
examples using Excel workbooks/spreadsheets on a CD with the book.
On the accompanying CD with the book, three interest rate models
are illustrated: Ho and Lee, constant volatility and Black Derman and Toy,
along with two evolutionary models, Vasicek and CIR and two credit risk
models, Jarrow and Turnbull and Duffie and Singleton.
These are implemented via spreadsheets on the CD.
http://images-eu.amazon.com/images/P/075066259X.02.LZZZZZZZ.jpg
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