February 2011
Intermediate to advanced
768 pages
22h 39m
English
Index
A
ABN Amro
ABSs (asset-backed securities)
pricing
stochastic valuation models
ABX indexes
Accounting
Accrual accounting
Accrued coupon
Acerbi, C.
Acharya, V. V.
Adjustable-rate mortgages (ARMs)
Affine models
Affine point process loss model
Agency-backed mortgage pools
Agency deals
Agency pool issuance
Aggregate loss process
Alfonsi, Aurélien
Algorithms, genetic-type
Alt-A mortgage loans
Amihud illiquidity measure ratio
Amortization
deterministic
early triggers
Analytically tractable first passage model. See AT1P (analytically tractable first passage) model
Andersen, L.
Annuities
Antithetic sampling
Approximation methods
AP study
Arbitrage:
CDO rating
pricing theory
and ratings
Armageddon event
ARMs. See Adjustable-rate mortgages (ARMs) ...