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Fixed Income Securities Tools for Today's Markets

ISBN-10: 0470891696
ISBN-13: 9780470891698
Edition: 3rd 2012
List price: $65.00 Buy it from $53.99
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Description: 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  More...

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Book details

List price: $65.00
Edition: 3rd
Copyright year: 2012
Publisher: John Wiley & Sons, Limited
Publication date: 12/16/2011
Binding: Hardcover
Pages: 640
Size: 6.75" wide x 9.75" long x 2.25" tall
Weight: 2.002
Language: English

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 in the field and comprehensively shows how to value the complete universe of fixed income securities. Included are all the latest fixed income securities valuation models and techniques, and their applications in real world situations. The third edition will also include two new chapters dedicated to foreign exchange markets and corporate bonds and credit-default swaps.

Preface to the Third Edition
Acknowledgments
An Overview of Global Fixed Income Markets
The Relative Pricing of Securities with Fixed Cash Flows
Prices, Discount Factors, and Arbitrage
Spot, Forward, and Par Rates
Returns, Spreads, and Yields
Measures of Interest Rate Risk and Hedging
One-Factor Risk Metrics and Hedges
Multi-Factor Risk Metrics and Hedges
Empirical Approaches to Risk Metrics and Hedging
Term Structure Models
The Science of Term Structure Models
The Evolution of Short Rates and the Shape of the Term Structure
The Art of Term Structure Models: Drift
The Art of Term Structure Models: Volatility and Distribution
The Gauss+ and LIBOR Market Models
Selected Securities and Topics
Repurchase Agreements and Financing
Forwards and Futures: Preliminaries
Note and Bond Futures
Short-Term Rates and Their Derivatives
Swaps
Arbitrage with Financing and Two-Curve Discounting
Fixed income Options
Corporate Bonds and Credit Default Swaps
Mortgages and Mortgage-Backed Securities
Curve Construction
References
Index

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