Mercado de Valores e Ingresos Fijos
Estudio de la valoración y comportamiento de activos de ingreso fijo. Análisis de los principales activos de este tipo incluyendo los valores gubernamentales de Estados Unidos, Puerto Rico y las agencias, instrumentos de deuda corporativa, mercado de bonos municipales, préstamos y participaciones hipotecarias y obligaciones colateralizadas por hipotecas u otros activos. Discusión del análisis matemático de la determinación de precios, rendimiento de bonos y la volatilidad de estos. Incluye el análisis de los factores que afectan el rendimiento y la estructura temporal de los tipos de interés. Introducción al manejo de cartera de ingresos fijos tanto en la modalidad activa como en la pasiva. Este curso puede enseñarse en la modalidad educativa presencial, híbrido a distancia o totalmente en línea.
Prontuario del curso
Bibliografía recomendada
Handbook of Fixed-Income Securities by
A comprehensive guide to the current theories and methodologies intrinsic to fixed-income securities Written by well-known experts from a cross section of academia and finance, Handbook of Fixed-Income Securities features a compilation of the most up-to-date fixed-income securities techniques and methods. The book presents crucial topics of fixed income in an accessible and logical format. Emphasizing empirical research and real-life applications, the book explores a wide range of topics from the risk and return of fixed-income investments, to the impact of monetary policy on interest rates, to the post-crisis new regulatory landscape. Well organized to cover critical topics in fixed income, Handbook of Fixed-Income Securities is divided into eight main sections that feature: * An introduction to fixed-income markets such as Treasury bonds, inflation-protected securities, money markets, mortgage-backed securities, and the basic analytics that characterize them * Monetary policy and fixed-income markets, which highlight the recent empirical evidence on the central banks' influence on interest rates, including the recent quantitative easing experiments * Interest rate risk measurement and management with a special focus on the most recent techniques and methodologies for asset-liability management under regulatory constraints * The predictability of bond returns with a critical discussion of the empirical evidence on time-varying bond risk premia, both in the United States and abroad, and their sources, such as liquidity and volatility * Advanced topics, with a focus on the most recent research on term structure models and econometrics, the dynamics of bond illiquidity, and the puzzling dynamics of stocks and bonds * Derivatives markets, including a detailed discussion of the new regulatory landscape after the financial crisis and an introduction to no-arbitrage derivatives pricing * Further topics on derivatives pricing that cover modern valuation techniques, such as Monte Carlo simulations, volatility surfaces, and no-arbitrage pricing with regulatory constraints * Corporate and sovereign bonds with a detailed discussion of the tools required to analyze default risk, the relevant empirical evidence, and a special focus on the recent sovereign crises A complete reference for practitioners in the fields of finance, business, applied statistics, econometrics, and engineering, Handbook of Fixed-Income Securities is also a useful supplementary textbook for graduate and MBA-level courses on fixed-income securities, risk management, volatility, bonds, derivatives, and financial markets. Pietro Veronesi, PhD, is Roman Family Professor of Finance at the University of Chicago Booth School of Business, where he teaches Masters and PhD-level courses in fixed income, risk management, and asset pricing. Published in leading academic journals and honored by numerous awards, his research focuses on stock and bond valuation, return predictability, bubbles and crashes, and the relation between asset prices and government policies.
ISBN: 9781118709207Publication Date: 2016-04-01
Handbook of High-Frequency Trading and Modeling in Finance by
Reflecting the fast pace and ever-evolving nature of the financial industry, the Handbook of High-Frequency Trading and Modeling in Finance details how high-frequency analysis presents new systematic approaches to implementing quantitative activities with high-frequency financial data. Introducing new and established mathematical foundations necessary to analyze realistic market models and scenarios, the handbook begins with a presentation of the dynamics and complexity of futures and derivatives markets as well as a portfolio optimization problem using quantum computers. Subsequently, the handbook addresses estimating complex model parameters using high-frequency data. Finally, the handbook focuses on the links between models used in financial markets and models used in other research areas such as geophysics, fossil records, and earthquake studies. The Handbook of High-Frequency Trading and Modeling in Finance also features: * Contributions by well-known experts within the academic, industrial, and regulatory fields * A well-structured outline on the various data analysis methodologies used to identify new trading opportunities * Newly emerging quantitative tools that address growing concerns relating to high-frequency data such as stochastic volatility and volatility tracking; stochastic jump processes for limit-order books and broader market indicators; and options markets * Practical applications using real-world data to help readers better understand the presented material The Handbook of High-Frequency Trading and Modeling in Finance is an excellent reference for professionals in the fields of business, applied statistics, econometrics, and financial engineering. The handbook is also a good supplement for graduate and MBA-level courses on quantitative finance, volatility, and financial econometrics. Ionut Florescu, PhD, is Research Associate Professor in Financial Engineering and Director of the Hanlon Financial Systems Laboratory at Stevens Institute of Technology. His research interests include stochastic volatility, stochastic partial differential equations, Monte Carlo Methods, and numerical methods for stochastic processes. Dr. Florescu is the author of Probability and Stochastic Processes, the coauthor of Handbook of Probability, and the coeditor of Handbook of Modeling High-Frequency Data in Finance, all published by Wiley. Maria C. Mariani, PhD, is Shigeko K. Chan Distinguished Professor in Mathematical Sciences and Chair of the Department of Mathematical Sciences at The University of Texas at El Paso. Her research interests include mathematical finance, applied mathematics, geophysics, nonlinear and stochastic partial differential equations and numerical methods. Dr. Mariani is the coeditor of Handbook of Modeling High-Frequency Data in Finance, also published by Wiley. H. Eugene Stanley, PhD, is William Fairfield Warren Distinguished Professor at Boston University. Stanley is one of the key founders of the new interdisciplinary field of econophysics, and has an ISI Hirsch index H=128 based on more than 1200 papers. In 2004 he was elected to the National Academy of Sciences. Frederi G. Viens, PhD, is Professor of Statistics and Mathematics and Director of the Computational Finance Program at Purdue University. He holds more than two dozen local, regional, and national awards and he travels extensively on a world-wide basis to deliver lectures on his research interests, which range from quantitative finance to climate science and agricultural economics. A Fellow of the Institute of Mathematics Statistics, Dr. Viens is the coeditor of Handbook of Modeling High-Frequency Data in Finance, also published by Wiley.
ISBN: 9781118593486Publication Date: 2016
Portfolio Construction and Analytics by
A detailed, multi-disciplinary approach to investment analytics Portfolio Construction and Analytics provides an up-to-date understanding of the analytic investment process for students and professionals alike. With complete and detailed coverage of portfolio analytics and modeling methods, this book is unique in its multi-disciplinary approach. Investment analytics involves the input of a variety of areas, and this guide provides the perspective of data management, modeling, software resources, and investment strategy to give you a truly comprehensive understanding of how today's firms approach the process. Real-world examples provide insight into analytics performed with vendor software, and references to analytics performed with open source software will prove useful to both students and practitioners. Portfolio analytics refers to all of the methods used to screen, model, track, and evaluate investments. Big data, regulatory change, and increasing risk is forcing a need for a more coherent approach to all aspects of investment analytics, and this book provides the strong foundation and critical skills you need. Master the fundamental modeling concepts and widely used analytics Learn the latest trends in risk metrics, modeling, and investment strategies Get up to speed on the vendor and open-source software most commonly used Gain a multi-angle perspective on portfolio analytics at today's firms Identifying investment opportunities, keeping portfolios aligned with investment objectives, and monitoring risk and performance are all major functions of an investment firm that relies heavily on analytics output. This reliance will only increase in the face of market changes and increased regulatory pressure, and practitioners need a deep understanding of the latest methods and models used to build a robust investment strategy. Portfolio Construction and Analytics is an invaluable resource for portfolio management in any capacity.
ISBN: 9781118656747Publication Date: 2016
The Advanced Fixed Income and Derivatives Management Guide by
A highly-detailed, practical analysis of fixed income management The Advanced Fixed Income and Derivatives Management Guide provides a completely novel framework for analysis of fixed income securities and portfolio management, with over 700 useful equations. The most detailed analysis of inflation linked and corporate securities and bond options analysis available;, this book features numerous practical examples that can be used for creating alpha transfer to any fixed income portfolio. With a framework that unifies back office operations, such as risk management and portfolio management in a consistent way, readers will be able to better manage all sectors of fixed income, including bonds, mortgages, credits, and currencies, and their respective derivatives, including bond and interest rate futures and options, callable bonds, credit default swaps, interest rate swaps, swaptions and inflation swaps. Coverage includes never-before-seen detail on topics including recovery value, partial yields, arbitrage, and more, and the companion website features downloadable worksheets that can be used for measuring the risks of securities based on the term structure models. Many theoretical models of the Term Structure of Interest Rates (TSIR) lack the accuracy to be used by market practitioners, and the most popular models are not mathematically stable. This book helps readers develop stable and accurate TSIR for all fundamental rates, enabling analysis of even the most complex securities or cash flow structure. The components of the TSIR are almost identical to the modes of fluctuations of interest rates and represent the language with which the markets speak. Examine unique arbitrage, risk measurement, performance attribution, and replication of bond futures Learn to estimate recovery value from market data, and the impact of recovery value on risks Gain deeper insight into partial yields, product design, and portfolio construction Discover the proof that corporate bonds cannot follow efficient market hypothesis This useful guide provides a framework for systematic and consistent management of all global fixed income assets based on the term structure of rates. Practitioners seeking a more thorough management system will find solutions in The Advanced Fixed Income and Derivatives Management Guide.
ISBN: 9781119014140Publication Date: 2015
The Theory and Practice of Investment Management by
An updated guide to the theory and practice of investment management Many books focus on the theory of investment management and leave the details of the implementation of the theory up to you. This book illustrates how theory is applied in practice while stressing the importance of the portfolio construction process. The Second Edition of The Theory and Practice of Investment Management is the ultimate guide to understanding the various aspects of investment management and investment vehicles. Tying together theoretical advances in investment management with actual practical applications, this book gives you a unique opportunity to use proven investment management techniques to protect and grow a portfolio under many different circumstances. Contains new material on the latest tools and strategies for both equity and fixed income portfolio management Includes key take-aways as well as study questions at the conclusion of each chapter A timely updated guide to an important topic in today's investment world This comprehensive investment management resource combines real-world financial knowledge with investment management theory to provide you with the practical guidance needed to succeed within the investment management arena.
ISBN: 9781118267028Publication Date: 2011
Introduction to Fixed Income Analytics by
A comprehensive introduction to the key concepts of fixed income analytics The First Edition of Introduction to Fixed Income Analytics skillfully covered the fundamentals of this discipline and was the first book to feature Bloomberg screens in examples and illustrations. Since publication over eight years ago, the markets have experienced cathartic change. That's why authors Frank Fabozzi and Steven Mann have returned with a fully updated Second Edition. This reliable resource reflects current economic conditions, and offers additional chapters on relative value analysis, value-at-risk measures and information on instruments like TIPS (treasury inflation protected securities). Offers insights into value-at-risk, relative value measures, convertible bond analysis, and much more Includes updated charts and descriptions using Bloomberg screens Covers important analytical concepts used by portfolio managers Understanding fixed-income analytics is essential in today's dynamic financial environment. The Second Edition of Introduction to Fixed Income Analytics will help you build a solid foundation in this field.
ISBN: 9781118266649Publication Date: 2011
The Handbook of Commodity Investing by
Filled with a comprehensive collection of information from experts in the commodity investment industry, this detailed guide shows readers how to successfully incorporate commodities into their portfolios. Created with both the professional and individual investor in mind, The Handbook of Commodity Investments covers a wide range of issues, including the risk and return of commodities, diversification benefits, risk management, macroeconomic determinants of commodity investments, and commodity trading advisors. Starting with the basics of commodity investments and moving to more complex topics, such as performance measurement, asset pricing, and value at risk, The Handbook of Commodity Investments is a reliable resource for anyone who needs to understand this dynamic market.
ISBN: 9780470117644Publication Date: 2008
Bases de datos Administración de Empresas
Bases de datos para localizar revistas académicas y profesionales en temas de Administración de Empresas:
- ABI/INFORM CollectionLa base de datos presenta miles de revistas de texto completo, disertaciones, documentos de trabajo, publicaciones clave de negocios y economía, como The Economist, informes centrados en el país y la industria, y datos descargables. Su cobertura internacional ofrece a los investigadores una imagen completa de las empresas y las tendencias comerciales en todo el mundo.
- Accounting, Tax & Banking CollectionContiene indices y articulos en texto completo de publicaciones en el área de contabilidad y finanzas
- Business Market Research This link opens in a new windowContiene Informes y Perfiles de mercado de compañías, Industrias procedente de tres reconocidas fuentes, Hoover's Company Profile, OxResearch, y Snapshots.
- Proquest Databases This link opens in a new windowPermite realizar búsquedas en todas las bases de datos de Proquest.
Proquest Central, Dissertation Abstracts & Thesis, Historical Newspapers: The New York Times y Worldwide Political Science Abstracts - Dialnet This link opens in a new windowDialnet es uno de los mayores portales bibliográficos del mundo, cuyo principal cometido es dar mayor visibilidad a la literatura científica hispana.
- Directory of Open Access Journals (DOAJ) This link opens in a new windowEl Directory of Open Access Journals es un servicio que provee acceso gratuito a revistas cientiicas y academicas en diversos idiomás y materias.
- Google Scholar This link opens in a new windowBase de datos bibliográfica multidisciplinaria. Provee acceso a la información bibliográfica y en ocasíones el texto completo de artículos, documentos, libros, tesis y disertaciones.
- Redalyc This link opens in a new windowRedalyc incluye revistas científicas de los países de América Latina y el Caribe, España y Portugal.
Para búsqueda de información sobre leyes, casos y reglamentos puede utilizar las siguientes bases de datos:
- Ayuda Legal PRProvee información relacionada a temas legales que abarcan derecho de familia, inmigración, género, educación, herencias, etc.
- FindLawProvee acceso a fuentes de información de leyes federelas por estado.
- Public Library of Law This link opens in a new windowBase de datos sobre leyes que ofrece acceso a casos y legislación federal.
Sitios web
- Bloomberg Provee acceso a información de datos relacionado al mundo financiero y la bolsa de valores.
- Central bank and monetary authority websites Directorio que recoge los sitios web de los bancos centrales y bancos de diferentes países del mundo.
- EuroStat Provee información sobre datos económicos y financieros de los países de la Unión Europea.
- Federal Deposit Insurance Corporation (FDIC) Provee acceso a datos estadísticos sobre el mundo de la banca y las finanzas.
- Federal Reserve System El Sistema de la Reserva Federal es el banco central de Estados Unidos. Realiza cinco funciones generales para promover el funcionamiento eficaz de la economía de los Estados Unidos y, de manera más general, el interés público. Provee acceso a datos, estadísticas, informes y educación para el consumidor.
- Free Management Library Provee acceso a información variada en temas de administración, comercio, gerencia, finanzas, negocios, recursos humanos y seguros.
- GEM: Global Entrepreneurship Monitor Provee acceso a informes, datos estadísticos y perfiles sobre administración y desarrollo empresarial.
- IMF eLibrary Data (International Monetary Fund) Contiene datos del Fondo Monetario Internacional, tasas de cambio y otros indicadores económicos y financieros y estadísticas financieras internacionales desde 1948. Los indicadores disponibles normalmente incluyen el tipo de cambio de un país, la posición del fondo, la liquidez internacional, las estadísticas monetarias y las tasas de interés. , precios, producción, trabajo, transacciones internacionales, cuentas gubernamentales, cuentas nacionales y población. (Actualizado mensualmente) Los datos de IFS e IMF requieren un registro / inicio de sesión gratuito en línea. Puede ver el IFS y otros conjuntos de datos sin registrarse, pero solo puede guardar y descargar datos registrándose.
- National Association of Insurance Commissioners (NAIC) Centro de Recursos del National Association of Insurance Commissioners provee acceso a estadísticas, informes y artículos.
- OECD iLibrary Bases de datos sobre estadísticas e indicadores de economía mundial desarrollada por la reconocida organización Economic Cooperation and Development (OECD).
- Oficina del Comisionado de Instituciones Financieras (OCIF) Sitio web de la Oficina del Comsionado de Instituciones Financieras de Puerto Rico (OCIF). Provee acceso a leyes, reglamentos, información para consumidores y estadísticas.