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Fixed Income Markets And Their Derivatives

Fixed Income Markets And Their Derivatives

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  • ISBN:9780123704719
  • Editorial: Academic Press Inc.
  • Fecha de la edición:
  • Número de la edición: 3
  • Encuadernación:
  • Dimensiones: 0 cm x 0 cm
  • Nº Pág.:435
  • Idiomas:Ingles

Materias:

The 3e of this well-respected textbook continues the tradition of providing clear and concise explanations for fixed income securities, pricing, and markets. The book matches well with fixed income securities courses. The book's organization emphasizes institutions in the first part, analytics in the second, selected segments of fixed income markets in the third, and fixed income derivatives in the fourth. This enables instructors to customize the material to suit their course structure and the mathematical ability of their students. In this title, new material on Credit Default Swaps, Collateralized Debt Obligations, and an integrated discussion of the Credit Crisis have been added. Online Resources for instructors on password protected website provides worked out examples for each chapter. A detailed description of all key financial terms is provided in a glossary at the back of the book.

Ch. 1 Overview of Fixed Income Markets 3
Ch. 2 Price-Yield Conventions 25
Ch. 3 Federal Reserve (Central Bank) and Fixed Income Markets 45
Ch. 4 Organization and Transparency of Fixed Income Markets 57
Ch. 5 Financing Debt Securities: Repurchase (Repo) Agreements 67
Ch. 6 Auctions of Treasury Debt Securities 87
Ch. 7 Bond Mathematics: DVO1, Duration, and Convexity 105
Ch. 8 Yield Curve and the Term Structure 131
Ch. 9 Models of Yield Curve and the Term Structure 165
Ch. 10 Modeling Credit Risk and Corporate Debt Securities 197
Ch. 11 Mortgages, Federal Agencies, and Agency Debt 227
Ch. 12 Mortgage-Backed Securities 245
Ch. 13 Inflation-Linked Debt: Treasury Inflation-Protected Securities 269
Ch. 14 Derivatives on Overnight Interest Rates 293
Ch. 15 Eurodollar Futures Contracts 303
Ch. 16 Interest-Rate Swaps 325
Ch. 17 Treasury Futures Contracts 353
Ch. 18 Credit Default Swaps: Single-Name, Portfolio, and Indexes 377
Ch. 19 Structured Credit Products: Collateralized Debt Obligations 397

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