Fixed income and interest rate derivative analysis
Fixed Income and Interest Rate Derivative Analysis gives a clear and accessible approach to the analytical techniques of debt instrument valuation. Without using complicated mathematical abstractions, this text shows that the fundamentals of fixed income and interest rate derivate analysis can be e...
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| Format: | eBook |
| Language: | Inglés |
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Oxford ; Boston :
Butterworth-Heinemann
1998.
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| Edition: | 1st edition |
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| See on Biblioteca Universitat Ramon Llull: | https://discovery.url.edu/permalink/34CSUC_URL/1im36ta/alma991009627612906719 |
Table of Contents:
- Front Cover; Fixed Income and Interest Rate Derivative Analysis; Copyright Page; Contents; Preface; Acknowledgements; Part I: Fixed Cash Flows; Chapter 1. Valuation of fixed cash flows with perfect replication; 1.1 Implications of a competitive market; 1.2 Zero prices and market conventions; 1.3 Fitting the treasury strip curve; 1.4 Further reading; 1.5 Questions; Chapter 2. Imperfect replication: immunization and duration; 2.1 Duration-matching; 2.2 Key rate analysis; 2.3 Further reading; 2.4 Questions; Part II: Simple Random Cash Flows
- Chapter 3. Forward rates, T-bill futures, and quasi-arbitrage3.1 Forward contracts; 3.2 T-bill futures; 3.3 Repurchase agreements- 'repos'; 3.4 Transaction costs and quasi-arbitrage; 3.5 Further reading; 3.6 Questions; Chapter 4. The Eurodollar market and simple interest rate swaps; 4.1 Eurodollar futures; 4.2 Forward rate agreements-- FRAs; 4.3 Floating rate notes; 4.4 Simple interest rate swaps; 4.5 Hedging and PVBP; 4.6 Questions; Part III: General Rate-Sensitive Cash Flows; Chapter 5. No-arbitrage and risk-neutral pricing; 5.1 A binomial example-a call option on a 6 month T-bill
- 5.2 State prices5.3 Risk-neutral probabilities; 5.4 Linking state prices and probabilities; 5.5 Multi-period valuation; 5.6 Questions; Chapter 6. State prices, forward induction, and tree-fitting; 6.1 State prices and valuation; 6.2 Forward induction and the state-price tree; 6.3 Interest rate trees; 6.4 Fitting market prices; 6.5 Questions; Chapter 7. The Black-Derman-Toy model; 7.1 Model characteristics; 7.2 Implementing BDT; 7.3 Example: the bias in Eurodollar futures; 7.4 Example: valuation of an interest rate caplet; 7.5 Example: valuation of a general FRN; 7.6 Further reading
- 7.7 QuestionsChapter 8. Convexity; 8.1 Curvature; 8.2 The convexity adjustment for swap and FRN valuation; 8.3 Further reading; 8.4 Questions; Chapter 9. Callable and convertible bonds; 9.1 Valuing callable bonds; 9.2 Convertible bonds; 9.3 Further reading; 9.4 Questions; Chapter 10. Credit risk; 10.1 Credit ratings; 10.2 A model of credit risk; 10.3 Further reading; Chapter 11. Continuous-time finance; 11.1 The basics; 11.2 Ito's lemma; 11.3 Martingales; 11.4 The market risk premium or the continuous-time APT; 11.5 The risk-neutral measure; 11.6 Change of probability measure
- 11.7 Continuous-time term structure models11.8 References; Index
