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Preface | |
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Acknowledgments | |
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Bond Evaluation | |
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Overview of the Financial System | |
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Real and Financial Assets | |
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Types of Debt Claims | |
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Financial Market | |
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Types of Financial Markets | |
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Regulations | |
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Efficient Financial Markets | |
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Characteristics of Assets | |
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Conclusion | |
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Key Terms | |
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Problems and Questions | |
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Web Exercises | |
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Notes | |
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Selected References | |
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Bond Value and Return | |
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Introduction | |
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Bond Valuation | |
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The Yield to Maturity and Other Rates of Return Measures | |
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Rates on Zero-Coupon Bonds | |
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Total Return | |
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Geometric Mean | |
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Conclusion | |
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Key Terms | |
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Problems and Questions | |
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Web Exercises | |
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Notes | |
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Selected References | |
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the Level and Structure of Interest Rates | |
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Introduction | |
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Level of Interest Rates | |
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the Structure of Interest Rates | |
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Conclusion | |
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Key Terms | |
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Problems and Questions | |
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Web Exercises | |
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Notes | |
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Selected References | |
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the Term Structure of Interest Rates | |
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Introduction | |
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Market Segmentation Theory | |
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Preferred Habitat Theory | |
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Pure Expectations Theory | |
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Liquidity Premium Theory | |
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Summary of Term Structure Theories | |
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Constructing the Benchmark Yield Curve | |
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Conclusion | |
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Key Terms | |
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Problems and Questions | |
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Web Exercises | |
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Notes | |
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Selected References | |
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Bond Risk | |
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Introduction | |
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Default Risk | |
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Market Risk | |
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Duration and Convexity | |
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Conclusion | |
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Key Terms | |
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Problems and Questions | |
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Web Exercises | |
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Notes | |
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Selected References | |
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Debt Markets | |
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Corporate Debt Securities | |
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Introduction | |
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Corporate Bonds | |
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Bankruptcy | |
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The Markets for Corporate Bonds | |
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Medium-Term Notes | |
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Commercial Paper | |
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Conclusion | |
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Key Terms | |
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Problems and Questions | |
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Web Exercises | |
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Notes | |
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Selected References | |
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Treasury and Agency Securities | |
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Introduction | |
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Treasury Instruments | |
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Repurchase Agreements | |
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Federal Agency Securities | |
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Conclusion | |
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Key Terms | |
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Problems and Questions | |
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Web Exercises | |
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Notes | |
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Selected References | |
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Municipal Securities | |
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Introduction | |
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Municipal Financing | |
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Tax-Exempt Status | |
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Types of Muncipals | |
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Special Features of Municipals | |
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Credit Risk, Quality Ratings, and Credit Spreads | |
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Municipal Bond Markets | |
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Conclusion | |
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Key Terms | |
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Problems and Questions | |
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Web Exercises | |
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Notes | |
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Selected References | |
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Intermediary Debt Securities | |
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Introduction | |
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Banker's Acceptances | |
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Mortgage-Backed and Asset-Backed Securities | |
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Investment Funds | |
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Insurance Companies and Pension Funds | |
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Conclusion | |
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Key Terms | |
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Problems and Questions | |
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Web Exercises | |
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Notes | |
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Selected References | |
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International Debt Securities | |
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Introduction | |
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The Foreign Bond Market | |
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The Eurobond Market | |
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Non-U.S. Domestic Bonds | |
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Emerging Market Debt | |
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Global Fixed-Income Mutual Funds and ETFs | |
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Foreign Bond Risk and Sovereign Bond Ratings | |
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Eurocurrency Market | |
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The Foreign Currency Market and Exchange Rate Risk | |
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Conclusion | |
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Key Terms | |
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Problems and Questions | |
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Web Exercises | |
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Notes | |
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Selected References | |
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Residential Mortgages and Mortgage-Backed Securities | |
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Introduction | |
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Residential Mortgage Loans | |
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Mortgage Portfolio | |
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Mortgage-Backed Securities | |
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Features of Mortgage-Backed Securities | |
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Collateralized Mortgage Obligations and Strips | |
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Evaluating Mortgage-Backed Securities | |
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Conclusion | |
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Key Terms | |
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Problems and Questions | |
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Web Exercises | |
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Notes | |
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Selected References | |
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Nonagency Residential Mbss, Commercial Mbss and Other Asset-Backed Securities | |
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Introduction | |
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Nonagency Mortgage-Backed Securities | |
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Commercial Mortgage-Back Securities | |
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Asset-Backed Securities | |
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Collateralized Debt Obligations | |
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Conclusion | |
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Key Terms | |
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Problems and Questions | |
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Web Exercises | |
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Notes | |
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Selected References | |
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Bond Strategies and the Evaluation of Bonds with Embedded Options | |
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Bond Investment Strategies | |
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Introduction | |
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Active Investment Strategies | |
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Passive Bond Management Strategies | |
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Bond Immunization Strategies | |
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Conclusion | |
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Key Terms | |
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Problems and Questions | |
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Web Exercises | |
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Notes | |
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Selected References | |
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Binomial Interest Rate Trees and the Valuation of Bonds with Embedded Options | |
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Introduction | |
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Binomial Interest Rate Model | |
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Valuing Bonds with Other Option Features | |
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Convertible Bond | |
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Valuing Mortgage-Backed Securities | |
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Key Terms | |
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Problems and Questions | |
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Web Exercises | |
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Notes | |
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Selected References | |
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Estimating the Binomial Tree | |
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Introduction | |
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Subdividing the Binomial Tree | |
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Estimating the Binomial Tree | |
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U and D Estimation Approach | |
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CALIBRATION MODEL | |
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Option-Adjusted Spread | |
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Duration and Convexity | |
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A Note on the Black-Scholes Option Pricing Model | |
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Conclusion | |
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Key Terms | |
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Problems and Questions | |
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Web Exercises | |
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Notes | |
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Selected References | |
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Debt Derivatives: Futures and Options | |
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Futures Contracts on Debt Securities: Fundamentals | |
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Introduction | |
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The Market and Characteristics of Futures on Debt Securities | |
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The Nature of Futures Trading and the Role of the Clearinghouse and Margins | |
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Futures Hedging | |
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Futures Pricing | |
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Conclusion | |
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Key Terms | |
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Problems and Questions | |
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Web Exercises | |
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Notes | |
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Selected References | |
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Interest Rate Option Contracts: Fundamentals | |
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Introduction | |
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Option Terminology | |
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Markets and Types of Interest Rate Options | |
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OPTION POSITIONS | |
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Option Trading - Microstructure | |
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Option Price Relationships | |
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Conclusion | |
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Key Terms | |
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Problems and Questions with Solutions | |
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Web Exercises | |
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Notes | |
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Selected References | |
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Managing Fixed-Income Positions with Interest-Rate Derivatives | |
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Introduction | |
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Hedging Fixed-Income Positions | |
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Cross Hedging | |
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Speculating with Interest Rate Derivatives | |
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Synthetic Debt and Investment Positions | |
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Using Options to Set a Cap or Floor on a Cash Flow | |
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Conclusion | |
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Key Terms | |
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Problems and Questions | |
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Web Exercises | |
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Notes | |
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Selected References | |
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Managing Fixed-Income Positions with OTC Derivatives | |
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Introduction | |
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Hedging with OTC Derivatives | |
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Hedging a Series of Cash Flows - OTC Caps and Floors | |
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Financing Caps and Floors: Collars and Corridors | |
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Other Interest Rate Products | |
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Hedging Currency Positions with Foreign Currency Options | |
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Conclusion | |
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Key Terms | |
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Problems and Questions | |
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Web Exercises | |
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Notes | |
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Selected References | |
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Swaps | |
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Interest Rate Swaps | |
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Introduction | |
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Generic Interest Rate Swaps | |
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Similarities between Swaps and Bond Positions and Eurodollar Futures Strips | |
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Swap Market | |
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Swap Valuation | |
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Comparative Advantage and the Hidden Option | |
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Swaps Applications | |
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Credit Risk | |
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Conclusion | |
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Key Terms | |
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Problems and Exercises | |
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Web Exercises | |
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Notes | |
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Selected References | |
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Swap Derivatives: Forward Swaps and Swaptions | |
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Introduction | |
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Forward Swaps | |
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Swaptions | |
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Hedging | |
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Cancelable and Extendable Swaps | |
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Non-Generic Swaps | |
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Conclusion | |
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Key Terms | |
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Problems and Exercises | |
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Notes | |
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Selected References | |
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Currency and Credit Default Swaps | |
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Introduction | |
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Currency Swaps | |
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Credit Default Swaps | |
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Conclusion | |
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Key Terms | |
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Problems and Questions | |
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Web Exercises | |
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Notes | |
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Selected References | |
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Uses of Exponents and Logarithms | |
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Mathematical Statistical Concepts | |
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Primer on Return, Present Value, and Future Value | |
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Global Investments and Exchange Rates | |
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Web Site Information and Examples | |
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Arbitrage Features of the Calibration Model | |
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T-Bond Delivery Procedure and Equilibrium Pricing | |
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Pricing interest rate options with a Binomial Interest Tree | |
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What's on the Comapnion Website | |
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Answers and Solutions to Select End-Of-Chapter Problems | |
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Glossary | |
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Index | |