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Capital Markets Instruments "Analysis And Valuation"

Analysis And Valuation

Capital Markets Instruments "Analysis And Valuation". Analysis And Valuation

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  • ISBN:9780230576032
  • Editorial: Palgrave
  • Fecha de la edición:
  • Número de la edición: 3
  • Encuadernación:
  • Dimensiones: 0 cm x 0 cm
  • Nº Pág.:576
  • Idiomas:Ingles,Inglés

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The third edition of Capital Market Instruments: Analysis and Valuation is a fully revised and updated guide to the most important products in use in the financial markets today, providing clear understanding of key concepts, mathematical techniques and market analysis. There is detailed coverage of debt and equity products and market conventions, illustrated with worked examples and case studies of events in the industry. The book is accompanied by web-based software for a yield curve construction model, enabling readers to set up an Excel application to calculate spot and forward interest rates. In this new edition, all chapters are updated to reflect the latest market developments. There is also a succinct analysis of the 2007-2008 financial crisis, with lessons learned and recommendations for market practitioners. The authors have extensive experience in investment banking, quantitative analysis, bond trading and risk management, and provide valuable insight and understanding of the financial markets.

List of Figures
List of Tables
Pt. I Introduction 1
1 Introduction to Financial Market Instruments 3
2 Market-Determined Interest Rates, and the Time Value of Money 11
Pt. II Debt Capital Market Cash Instruments 23
3 Money Market Instruments and Foreign Exchange 25
4 Fixed Income Securities I: The Bond Markets 46
5 Fixed Income Securities II: Interest-Rate Risk 123
6 Fixed Income Securities III: Credit Analysis, Bond Spreads and Relative Value Measurement 139
7 Interest Rate Modelling 159
8 Fitting the Yield Curve 176
9 B-Spline Modelling and Fitting the Term Structure 186
10 Inflation-Indexed Bonds and Derivatives 203
11 Term Structure Construction Using QuantLib 224
Pt. III Structured Financial Products 235
12 An Introduction to Asset-Backed Securities and Securitisation 237
13 Mortgage-Backed Securities 254
14 Collateralised Debt Obligations 273
Pt. IV Derivative Instruments 293
15 Short-Term Interest-Rate Derivatives 295
16 Swaps 313
17 Options I 341
18 Options II 351
19 Options III 370
20 Credit Derivatives 383

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