Fixed income securities tools for today's markets
"Fixed-income securities traditionally promised fixed cash flows (like bonds), but there have been many newly-created fixed income securities for which the promised cash flows depend on the level of interest rates, making them hard to value. This revised book covers the most advanced thinking i...
| Otros Autores: | , |
|---|---|
| Formato: | Libro electrónico |
| Idioma: | Inglés |
| Publicado: |
Hoboken, New Jersey :
Wiley
[2022]
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| Edición: | Fourth edition |
| Colección: | Wiley finance series.
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| Materias: | |
| Ver en Biblioteca Universitat Ramon Llull: | https://discovery.url.edu/permalink/34CSUC_URL/1im36ta/alma991009703298706719 |
Tabla de Contenidos:
- Prices, Discount Factors, and Arbitrage
- Swap, Spot, and Forward Rates
- Returns, Yields, Spreads, and P&L Attribution
- DV01, Duration, and Convexity
- Key-Rate-, Partial-, and Forward-Bucket '01s and Durations
- Regression Hedging and Principal Component Analysis
- Arbitrage Pricing with Term Structure Models
- Expectations, Risk Premium, Convexity, and the Shape of the Term Structure
- The Vasicek and Gauss Models
- Repurchase Agreements and Financing
- Note and Bond Futures
- Short-Term Rates and Their Derivatives
- Interest Rate Swaps
- Corporate Debt and Credit Default Swaps
- Mortgages and Mortgage-Backed Securities
- Fixed Income Options.
