Fixed-Income Securities Valuation, Risk Management and Portfolio Strategies

ISBN-10: 0470852771

ISBN-13: 9780470852774

Edition: 2003

List price: $90.00
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This textbook is designed for fixed-income securities courses taught on MSc Finance and MBA courses. It provides coverage of both traditional and alternative investment strategies in the fixed-income market.
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Book details

List price: $90.00
Copyright year: 2003
Publisher: John Wiley & Sons, Incorporated
Publication date: 7/9/2003
Binding: Paperback
Pages: 662
Size: 7.50" wide x 10.00" long x 1.50" tall
Weight: 3.102
Language: English

Investment Environment
Bonds and Money-Market Instruments
Bond Prices and Yields
Term Structure of Interest Rates
Empirical Properties and Classical Theories of the Term Structure
Deriving the Zero-Coupon Yield Curve
Hedging Interest Rate Risk
Hedging Interest-Rate Risk with Duration
Beyond Duration
Investment Strategies
Passive Fixed-Income Portfolio Management
Active Fixed-Income Portfolio Management
Performance Measurement on Fixed-Income Portfolios
Swaps and Futures
Forwards and Futures
Modeling the Term Structure of Interest Rates and Credit Spreads
Modeling the Yield Curve Dynamics
Modeling the Credit Spreads Dynamics
Plain Vanilla Options and More Exotic Derivatives
Bonds with Embedded Options and Options on Bonds
Options on Futures, Caps, Floors and Swaptions
Exotic Options and Credit Derivatives
Mortgage-Backed Securities
Asset-Backed Securities
Subject Index
Author Index
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