Skip to content

Fixed-Income Securities and Derivatives Handbook Analysis and Valuation

Spend $50 to get a free DVD!

ISBN-10: 1576603342

ISBN-13: 9781576603345

Edition: 2nd 2010 (Revised)

Authors: Moorad Choudhry

List price: $126.00
Shipping box This item qualifies for FREE shipping.
Blue ribbon 30 day, 100% satisfaction guarantee!
what's this?
Rush Rewards U
Members Receive:
Carrot Coin icon
XP icon
You have reached 400 XP and carrot coins. That is the daily max!

Customers also bought

Book details

List price: $126.00
Edition: 2nd
Copyright year: 2010
Publisher: John Wiley & Sons, Incorporated
Publication date: 8/2/2010
Binding: Hardcover
Pages: 475
Size: 6.25" wide x 9.50" long x 1.50" tall
Weight: 1.562
Language: English

Introduction to Bonds
The Bond Instrument
The Time Value of Money
Basic Features and Definitions
Present Value and Discounting
Discount Factors
Bond Pricing and Yield: The Traditional Approach
Bond Pricing
Bond Yield
Floating Rate Notes
Accrued Interest
Clean and Dirty Bond Prices
Day-Count Conventions
Bond Instruments and Interest Rate Risk
Duration, Modified Duration, and Convexity
Properties of Macaulay Duration
Modified Duration
Bond Pricing and Spot and Forward Rates
Zero-Coupon Bonds
Coupon Bonds
Bond Price in Continuous Time
Fundamental Concepts
Stochastic Rates
Coupon Bonds
Forward Rates
Guaranteeing a Forward Rate
The Spot and Forward Yield Curve
Calculating Spot Rates
Term Structure Hypotheses
The Expectations Hypothesis
Liquidiry Premium Hypothesis
Segmented Markets Hypothesis
Interest Rate Modeling
Basic Concepts
Shore-Rare Processes
Ico's Lemma
One-Factor Term-Structure Models
Vasicek Model
Hull-White Model
Further One-Factor Term-Structure Models
Cox-Ingersoll-Ross (CIR) Model
Two-Factor Interest Rate Models
Brennan-Schwartz Model
Extended Cox-Ingersoll-Ross Model
Heath-Jarrow-Morton (HJM) Model
The Multifactor HJM Model
Choosing a Term-Structure Model
Fitting the Yield Curve
Yield Curve Smoothing
Smoothing Techniques
Cubic Polynomials
Non-Parametric Methods
Spline-Based Methods
Nelson and Siegel Curves
Comparing Curves
Fitting the Term Structure of Interest Rates: The Practical Implementation of Cubic Spline Methodology
Cubic Spline Methodology
The Hypothesis
Practical Approach
A Working Environment
The First Requirement
The Second Requirement
The Third Requirement
Meeting All Requirements Simultaneously
A Unique Solution
The Solution
A Look at Forward Rates
Selected Cash and Derivative Instruments
Forwards and Futures Valuation
Forwards and Futures
Cash Flow Differences
Relationship between Forward and Futures Prices
Forward-Spot Parity
The Basis and Implied Repo Rate
Interest Rare Swaps
Market Terminology
Swap Spreads and the Swap Yield Curve
Generic Swap Valuation
Intuitive Swap Pricing
Zero-Coupon Swap Valuation
Calculating the Forward Rate from Spot-Rate Discount Factors
The Key Principles of an Interest Rate Swap
Valuation Using the Final Maturity Discount Factor
Non-Plain Vanilla Interest Rate Swaps
Interest Rate Swap Applications
Corporate and Investor Applications
Hedging Bond Instruments Using Interest Rate Swaps
Option Basics
Option Instruments
Option Pricing: Setting the Scene
Limits on Option Prices
Option Pricing
The Black-Scholes Option Model
Pricing Derivative Instruments Using the Black-Scholes Model
Put-Call Parity
Pricing Options on Bonds Using the Black-Scholes Model
Interest Rate Options and the Black Model
Comments on the Black-Scholes Model
Stochastic Volatility
Implied Volatility
Other Option Models
Measuring Option Risk
Option Price Behavior
Assessing Time Value
American Options
The Greeks
The Option Smile
Caps and Floors
Credit Derivatives
Credit Risk
Credit Risk and Credit Derivatives
Applications of Credit Derivatives
Credit Derivative Instruments
Credit Default Swap
Credit Options
Credit-Linked Notes
Total Return Swaps
Investment Applications
Capital Structure Arbitrage
Exposure to Market Sectors
Credit Spreads
Funding Positions
Credit Derivatives and Relative Value Trading
Relative Value Trading Straregies
Bond Valuation from CDS Prices: Bloomberg Screen VCDS
Credit-Derivative Pricing
Pricing Total Return Swaps
Asset-Swap Pricing
Credit-Spread Pricing Models
The Market Approach to CDS Pricing
Default Probabilities
Pricing a CDS Contract
Example Calculation
The ITraxx and CD-X Credit Indices Contracts
Index Tranche Market
Impact of the 2007-2008 Credit Crunch: New CDS Contracts
The Analysis of Bonds with Embedded Options
Understanding Option Elements Embedded in a Bond
Basic Options Features
Option Valuation
The Call Provision
The Binomial Tree of Short-Term Interest Rates
Arbitrage-Free Pricing
Options Pricing
Risk-Neutral Pricing
Recombining and Nonrecombining Trees
Pricing Callable Bonds
Price and Yield Sensitivity
Measuring Bond Yield Spreads
Option-Adjusted Spread Analysis
A Theoretical Framework
The Methodology in Practice
Convertible Bonds
Basic Features
Trading Patterns of Convertible Bonds
Investor Analysis
Zero-Coupon Convertibles
Convertible Bond Default Risk
Advantages of Issuing and Holding Convertibles
Convertible Bond Valuation
Fair Value of a Convertible Bond: The Binomial Model
Model Parameters
Pricing Spreadsheet
Inflation-Indexed Bonds
Basic Concepts
Choice of Index
Indexation Lag
Coupon Frequency
Type of Indexation
Index-Linked Bond Cash Flows and Yields
TIPS Cash Flow Calculations
TIPS Price and Yield Calculations
Assessing Yields on Index-Linked Bonds
Which to Hold: Indexed or Conventional Bonds?
Analysis of Real Interest Rates
Indexation Lags and Inflation Expectations
An Inflation Term Structure
Inflation-Indexed Derivatives
Securitization and Asset-Backed Securities
The Concept of Securitization
Reasons for Undertaking Securitization
Benefits of Securitization to Investors
The Process of Securitization
Securitization Process
Credit Enhancement
Securirizing Mortgages
Growth of the Market
Mortgage Bond Risk
Types of Mortgage-Backed Securities
Cash Flow Patterns
Prepayment Analysis
Prepayment Models
ABS Structures: A Primer on Performance Metrics and Test Measures
Collateral Types
Summary of Performance Metrics
Securitization: Features of the 2007-2009 Financial Crisis
Impact of the Credit Crunch
Collateralized Debt Obligations
CDO Structures
Conventional CDO Structures
Synthetic CDO Structures
Motivation Behind CDO Issuance
Balance Sheet-Driven Transactions
Investor-Driven Arbitrage Transactions
Analysis and Evaluation
Portfolio Characteristics
Cash Flow Analysis and Stress Testing
Originator's Credit Quality
Operational Aspects
Legal Structure of the Transaction
Expected Loss
CDO Market Overview Since 2005
Risk and Capital Management
Selected Market Trading Considerations
The Yield Curve, Bond Yield, and Spot Rates
Practical Uses of Redemption Yield and Duration
The Concept of Yield
Yield Comparisons in the Market
Measuring a Bond's True Return
Illustrating Bond Yield Using a Microsoft Excel Spreadsheet
Implied Spot Rates and Market Zero-Coupon Yields
Spot Yields and Coupon-Bond Prices
Implied Spot Yields and Zero-Coupon Bond Yields
Determining Strip Values
Strips Market Anomalies
Strips Trading Strategy
Case Study: Treasury Strip Yields and Cash Flow Analysis
Approaches to Trading
Futures Trading
Yield Curves and Relative Value
Determinants of Government Bond Yields
Characterizing the Complete Term Structure
Identifying Relative Value in Government Bonds
Hedging Bond Positions
Simple Hedging Approaches
Hedge Analysis
Summary of the Derivation of the Optimum-Hedge Equation
Credit Analysis and Relative Value Measurement
Credit Ratings
Purpose of Credit Ratings
Formal Credit Ratings
Credit Analysis
The Issuer Indusrry
Financial Analysis
Industry-Specific Analysis
Utility Companies
Financial Sector Companies
The Art of Credit Analysis
Bond Spreads and Relative Value
Bond Spreads
Summary of Fund Managers' Approach to Value Creation
The Black-Scholes Model in Microsoft Excel
Iterative Formula Spreadsheet
Pricing Spreadsheet
About the Author