Price for fixed income and Investment banking and brokerage Guide - Finance Review

Extracting Market Expectations of Future Interest Rates from the Yield Curve
Analysis of the predictive ability of implied forward rates by the Monetary Authority of Singapore.
 
The BARRA Prepayment Model: An Update
Explanation of upgrades made to the BARRA mortgage prepayment model.
 
A Model for Valuing Bonds and Embedded Options
Discussion of basic bond discounting and advanced pricing of bonds with embedded options. Presented by Andrew Kalotay, George Williams and Frank Fabozzi.
 
Why Does the Yield Curve Predict Economic Activity? Dissecting the Evidence for Germany and the United States?
Working paper by Frank Smets and Kostas Tsatsaronis. Requires Acrobat Reader.
 
A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk
Presentation of a model to estimate the drift and diffusion of the short rate and the market price of interest rate risk.
 
Bidding Behavior in Treasury Bill Auctions - Evidence from Pakistan
Working paper by Daniel C. Hardy of the Middle Eastern Department of the International Monetary Fund.
 
A Survey of Contingent-Claims Approaches to Risky Debt Valuation
Survey of available research on the contingent-claim approach to valuation of risky debt.
 
Bond Valuation
Bond math equations from Campbell Harvey, professor at Duke University.
 
Price Volatility Characteristics of Option-Free Bonds
Discussion of the characteristics of a bond that help determine its price volatility. Provided by the Kuala Lumpur Stock Exchange's Riiam Information System.
 
Forward Rates and Term Structure Hypotheses
Calculation of forward interest rates and implications for hypotheses on the slope of the yield curve. Provided by lecture notes from the University of Illinois.
 
Computing Internal Rate of Return or Yield
A primer on calculating internal rate of return provided by the Kuala Lumpur Stock Exchange's Riiam Information System.
 
Sources of a Bond's Return
Information on computing the interest-on-interest component, yield to maturity and total return of a bond. Provided by the Kuala Lumpur Stock Exchange's Riiam Information System.
 
The Term Structure of Very Short-Term Rates
Presentation of evidence that confirms the validity of the expectations hypothesis of the term structure.
 
Time Value of Money and Valuing Bonds
Lecture notes from the University of Illinois.
 
Does the Term Structure Predict Recessions?
Working paper by Henri Bernard and Stefan Gerlach. Requires Acrobat Reader.
 
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