作者JilSander (阿甘先发 狂牛必胜)
看板CFAiafeFSA
标题Re: 可以推荐一本债券市场的教科书吗?
时间Thu Apr 14 18:54:31 2005
: : 希望是中文的说
: : 这算是是货币银行学吗?
: : 还是利率市场呢?
: 我帮我老板打一下广告好了...
那我也帮我老板打一下广告好罗!!
Pricing and hedging interest & credit risk sensitive instruments
Frank Skinner
内容浅显易懂,英文写得很简单!!
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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