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...eference to [[bond (finance)|bond]]s and other [[securities|fixed-interest securities]]. It is closely related to the concept of [[current yield]]. [[Category:Mathematical finance]] ...

...US for [[Ginnie Mae]], [[Fannie Mae]], and [[Freddie Mac]] mortgage-backed securities.<ref>{{cite web|title=Credit Market Daily|url=https://www.creditmarketdaily ...es of early repayment. Early repayment reduces the amount of [[collateral (finance)|collateral]] available for an issue, and therefore some of the outstanding ...

...l derivative]] that allows one to [[Speculation|speculate]] on or [[hedge (finance)|hedge]] [[risks]] associated with the observed average [[correlation]], of Given a set of nonnegative weights <math>w_i</math> on <math>n</math> securities, the realized correlation is defined as the weighted average of all pairwis ...

...ield curve|Yield Curve]] Rates”, which are used by investors to price debt securities traded in public markets, and by lenders to set interest rates on many othe ...le River, New Jersey USA |isbn=0-13-339151-5 |page=87 |edition=3rd}}</ref> Finance scholar [[Frank J. Fabozzi]] has stated that because of the coupon effect, ...

...k Treynor]] in 1973. The model assumes an investor who considers that most securities are [[Efficient-market hypothesis|priced efficiently]], but who believes th ...proportion to their market value and an 'active portfolio' containing the securities for which the investor has made a prediction about alpha. In the active por ...

...However, privately held businesses can more easily hedged using marketable securities and thus are a lesser source of deviations from the CAPM. Privately held bu .../ref> Thus, private businesses can only be imperfectly hedged using traded securities and therefore still cause deviations from the CAPM.<ref>Bodie, Z., Kane, A. ...

...accessdate=8 July 2019}}</ref> A RFQ contains at least the [[International Securities Identification Number|ISIN]] to uniquely identify the financial product, th This essentially means, that everybody buying or selling [[stock]]s, [[Bond (finance)|bonds]], [[Foreign exchange market|foreign exchange]], commodities or [[ex ...

...=Mark }}</ref> to model [[illiquid securities]] and to value [[Derivative (finance)|financial derivatives]] on these. *[[Option (finance)#Model implementation|Option: Model implementation]] ...

...son BSc FFA FSS, Institutional Investment Volume III, Other Fixed Interest Securities</ref> The spens clause protects lenders or investors in securities in two related ways - by requiring the payment of a make whole payment it m ...

A '''Brazilian Swap''' is a type of [[Swap (finance)|swap]] where the floating rate is calculated using an average rate and has ...is calculated daily by the Central of Custody and Financial Settlement of Securities (CETIP). It represents the average rate of all inter-bank overnight transac ...

...Alternative Models of the Short-Term Interest Rate |journal=The Journal of Finance |language=en |volume=47 |issue=3 |pages=1209–1227 |doi=10.1111/j.1540-6261. ...y.wiley.com/doi/10.1111/j.1540-6261.1997.tb01127.x |journal=The Journal of Finance |language=en |volume=52 |issue=4 |pages=1695–1706 |doi=10.1111/j.1540-6261. ...

In [[mathematical finance]], '''convexity''' refers to non-linearities in a [[financial model]]. In o ...this is referred to as [[Gamma (finance)|Gamma]] (Γ), one of the [[Greeks (finance)|Greeks]]. In practice the most significant of these is [[bond convexity]], ...

In [[finance]], '''indifference pricing''' is a method of pricing [[financial securities]] with regard to a [[utility function]]. The ''' indifference price''' is [[Category:Mathematical finance]] ...

...ares of home currency-denominated bank [[loans]] and international [[Bond (finance)|bond]] debt), they showed that original sin was present in most of the [[d ...fication, Original Sin, and International Bond Portfolios"], International Finance Discussion Papers. Board of Governors of the Federal Reserve System.</ref> ...

...iance option''') is a type of variance derivatives which is the derivative securities on which the payoff depends on the annualized realized variance of the retu *[[Volatility (finance)]] ...

...ed volatility''' (or '''volatility option''') is a subclass of derivatives securities that the payoff function embedded with the notion of annualized realized vo *[[Volatility (finance)]] ...

...{{Short description|Application of mathematical and statistical methods in finance}} ...of [[applied mathematics]], concerned with mathematical modeling in the [[Finance#Quantitative_finance|financial field]]. ...

...re PRDC swap hedgers – the major ones include [[JPMorgan Chase]], [[Nomura Securities Co.]], [[UBS Investment Bank]], [[Deutsche Bank]], [[Goldman Sachs]], [[Cit ...actor [[Lattice model (finance)|grid/lattice]] or [[Monte Carlo methods in finance|Monte Carlo]] models where one factor represents the short rate in currency ...

...-based style analysis''' ('''RBSA''') is a statistical technique used in [[finance]] to deconstruct the returns of investment strategies using a variety of ex ...theory of market equilibrium under conditions of risk |journal=Journal of Finance |volume=19 |issue=3 |pages=425–442 |doi=10.2307/2977928|jstor=2977928 |hdl= ...

The [[rate of return]] on a [[portfolio (finance)|portfolio]] can be calculated either directly or indirectly, depending the ...r of an investment portfolio borrows US$200,000 from the bank to invest in securities. The portfolio suffers losses, and the owner sells all its holdings. These ...