Fixed Income Securities Valuation, Risk, and Risk Management

ISBN-10: 0470109106

ISBN-13: 9780470109106

Edition: 2011

Authors: Pietro Veronesi

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Description:

The deep understanding of the forces that affect the valuation, risk and return of fixed income securities and their derivatives has never been so important. As the world of fixed income securities becomes more complex, anybody who studies fixed income securities must be exposed more directly to this complexity. This book provides a thorough discussion of these complex securities, the forces affecting their prices, their risks, and of the appropriate risk management practices. "Fixed Income Securities," however, provides a methodology, and not a shopping list. It provides instead examples and methodologies that can be applied quite universally, once the basic concepts have been understood.
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Book details

List price: $202.99
Copyright year: 2011
Publisher: John Wiley & Sons, Limited
Publication date: 2/2/2010
Binding: Hardcover
Pages: 848
Size: 7.50" wide x 10.25" long x 1.50" tall
Weight: 2.838

Basics
An Introduction to Fixed Income Markets
Basics of Fixed Income Securities
Basics of Interest Rate Risk Management
Basic Refinements in Interest Rate Risk Management
Interest Rate Derivatives: Forwards and Swaps
Interest Rate Derivatives: Futures and Options
Inflation, Monetary Policy, and the Federal Funds Rate
Basics of Residential Mortgage Backed Securities
Term Structure Models: Trees
One-Step Binomial Trees
Multi-Step Binomial Trees
Risk Neutral Trees and Derivative Pricing
American Options
Monte Carlo Simulations on Trees
Term Structure Models: Continuous Time
Interest Rate Models in Continuous Time
No Arbitrage and the Pricing of Interest Rate Securities
Dynamic Hedging and Relative Value Trades
Risk Neutral Pricing and Monte Carlo Simulations
The Risk and Return of Interest Rate Securities
No Arbitrage Models and Standard Derivatives
The Market Model and Options Volatility Dynamics
Forward Risk-Neutral Pricing and the LIBOR Market Model
Multifactor Models
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