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| About the Editors | |
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| About the Contributors | |
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| Preface | |
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| A Brief History of Interest Rates | |
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| The Term Structure of Interest Rates | |
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| Interest-Rate Risk Measures and Option-adjusted Spread Analysis | |
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| Common Misconceptions About Duration | |
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| The Evolution of Interest-Rate Risk Measurement in Financial Institutions | |
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| The Estimation of the Duration of Nonmaturity Deposits | |
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| Simulation Applications: Uses and Misuses | |
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| Scenario Analysis and Stress Testing | |
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| Forward Rate Agreements | |
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| Financial Forward and Future Contracts | |
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| The Mechanics of Zero-coupon Yield Curve Construction | |
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| Swaps and Swaptions | |
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| Interest-Rate Options: Caps, Floors, and Collars | |
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| Contingent Premium Options: A Primer | |
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| The Role of Structured Notes | |
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| Exotic Instruments | |
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| Financial Engineering as a Solution to Interest-Rate Risk Management Challenges | |
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| Managing Interest-Rate Risk at a Commercial Bank | |
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| Managing Interest-Rate Risk at a Savings Institution | |
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| Implementing the Option-adjusted Spread Model for Global Balance Sheet Management | |
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| Consumer Deposit Behavior and the Related Interest-Rate Risk | |
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| Managing the Interest-Rate Risk of a Credit Card Portfolio | |
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| Managing the Interest-Rate Risk in the Mortgage Banking Industry | |
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| Hedging Issues Related to Mortgages | |
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| How Today's Fixed-income Portfolio Managers Look at Interest-Rate Risk | |
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| Interest-Rate Risk Management in the Context of an Enterprisewide Risk Solution | |
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| The Simultaneous Analysis of Interest-Rate Risk and Credit Risk | |
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| Interest-Rate Risk Management Strategies | |
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| Yield Enhancement: Earning Above-average Returns | |
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| History and Quality of Interest-Rate Risk Disclosure at US Banks | |
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| Hedging CMOs with "On the Run" Treasuries Using Key Rate Durations | |
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| The Effects of Term Structure Estimation on the Valuation of Interest-Rate Derivatives | |
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| The Effects of Nonparallel Shifts in the Yield Curve on Bank Capital Adequacy | |
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| Index | |