Handbook of fixed-income securities /

Written by well-known experts from a cross section of academia and finance, Handbook of Fixed-Income Securities features a compilation of the most up-to-date fixed-income securities techniques and methods. The book presents crucial topics of fixed income in an accessible and logical format. Emphasiz...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Otros Autores: Veronesi, Pietro
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Hoboken, New Jersey : John Wiley & Sons, Inc., [2016]
Colección:Wiley Handbooks in Financial Engineering and Econometrics
Temas:
Fixed-income securities.
BUSINESS & ECONOMICS > Finance.
Fixed-income securities
Acceso en línea:Texto completo
Tabla de Contenidos:
  • Title Page
  • Copyright
  • Table of Contents
  • Dedication
  • Notes on Contributors
  • Preface
  • The Handbook
  • Part I: Fixed Income Markets
  • 1 Fixed Income Markets: An Introduction
  • 1.1 Introduction
  • 1.2 U.S. Treasury Bills, Notes, and Bonds
  • 1.3 Interest Rates, Yields, and Discounting
  • 1.4 The Term Structure of Interest Rates
  • 1.5 Pricing Coupon Notes and Bonds
  • 1.6 Inflation-Protected Securities
  • 1.7 Floating Rate Notes
  • 1.8 Conclusion
  • References
  • 2 Money Market Instruments
  • 2.1 Overview of the Money Market
  • 2.2 U.S. Treasury Bills
  • 2.3 Commercial Paper
  • 2.4 Discount Window
  • 2.5 Eurodollars
  • 2.6 Repurchase Agreements
  • 2.7 Interbank Loans
  • 2.8 Conclusion
  • References
  • 3 Inflation-Adjusted Bonds and the Inflation Risk Premium
  • 3.1 Inflation-Indexed Bonds
  • 3.2 Inflation Derivatives
  • 3.3 No-Arbitrage Pricing
  • 3.4 Inflation Risk Premium
  • 3.5 A Look at the Data
  • 3.6 Conclusion
  • 3.7 Appendix
  • 3.8 Data Appendix
  • References
  • 4 Mortgage-Related Securities (MRSs)
  • 4.1 Purpose of the Chapter
  • 4.2 Introduction To MRSs
  • 4.3 Valuation Overview
  • 4.4 Analyzing an MRS
  • 4.5 Summary
  • References
  • Part II: Monetary Policy and Fixed Income Markets
  • 5 Bond Markets and Monetary Policy
  • 5.1 Introduction
  • 5.2 High-Frequency Identification of Monetary Policy Shocks
  • 5.3 Target Versus Path Shocks
  • 5.4 Conclusions
  • Acknowledgments
  • References
  • 6 Bond Markets and Unconventional Monetary Policy
  • 6.1 Introduction
  • 6.2 Unconventional Policies: The Fed, ECB, And BOE
  • 6.3 Unconventional Policies: A Theoretical Framework
  • 6.4 Unconventional Policies: The Empirical Evidence
  • 6.5 Conclusions
  • Acknowledgments
  • References
  • Part III: Interest Rate Risk Management
  • 7 Interest Rate Risk Management and Asset Liability Management
  • 7.1 Introduction
  • 7.2 Literature Review.
  • 7.3 Interest Rate Risk Measures
  • 7.4 Application to Asset Liability Management
  • 7.5 Backtesting ALM Strategies
  • 7.6 Liability Hedging and Portfolio Construction
  • 7.7 Conclusions
  • 7.8 Appendix: The Implementation of Principal Component Analysis
  • References
  • 8 Optimal Asset Allocation in Asset Liability Management
  • 8.1 Introduction
  • 8.2 Yield Smoothing
  • 8.3 ALM Problem
  • 8.4 Method
  • 8.5 Single-Period Portfolio Choice
  • 8.6 Dynamic Portfolio Choice
  • 8.7 Conclusion
  • 8.8 Appendix: Return Model Parameter Estimates
  • 8.9 APPENDIX: BENCHMARK WITHOUT LIABILITIES
  • Acknowledgments
  • References
  • Part IV: The Predictability of Bond Returns
  • 9 International Bond Risk Premia
  • 9.1 Introduction
  • 9.2 Literature Review
  • 9.3 Notation and International Bond Market Data
  • 9.4 Unconditional Risk Premia
  • 9.5 Conditional Risk Premia
  • 9.6 Understanding Bond Risk Premia
  • 9.7 Conclusion and Outlook
  • Acknowledgments
  • References
  • 10 Return Predictability in the Treasury Market: Real Rates, Inflation, and Liquidity
  • 10.1 Introduction
  • 10.2 Brief Literature Review
  • 10.3 Bond Data and Definitions
  • 10.4 Estimating the Liquidity Differential Between Inflation-Indexed and Nominal Bond Yields
  • 10.5 Bond Excess Return Predictability
  • 10.6 Conclusion
  • Acknowledgments
  • References
  • 11 U.S. Treasury Market: The High-Frequency Evidence
  • 11.1 Introduction
  • 11.2 The U.S. Treasury Markets During the Financial Crisis
  • 11.3 The Reaction of Bond Prices and Interest Rates to Macroeconomic News
  • 11.4 Market-Microstructure Effects
  • 11.5 Bond Risk Premia
  • 11.6 The Impact of High-Frequency Trading
  • 11.7 Conclusions
  • References
  • Part V: Advanced Topics on Term Structure Models and Their Estimation
  • 12 Structural Affine Models for Yield Curve Modeling
  • 12.1 Purpose and Structure of This Chapter.
  • 12.2 Structural Models
  • 12.3 A Simple Taxonomy
  • 12.4 Why do we Need no-Arbitrage Models After All?
  • 12.5 Affine Models and the Drivers of The Yield Curve
  • 12.6 Introducing No-Arbitrage
  • 12.7 Which Variables should one use?
  • 12.8 Risk Premia Implied by Affine Models with Constant Market Price of Risk
  • 12.9 Testable Predictions: Constant Market Price of Risk
  • 12.10 What do we know about Excess Returns?
  • 12.11 Understanding the Empirical Results on term Premia
  • 12.12 Enriching the First-Generation Affine Models
  • 12.13 Latent Variables: the D'Amico, kim, and wei Model
  • 12.14 From Linear Regressors to Affine Models: the acm Approach
  • 12.15 Affine Models using Principal Components as Factors
  • 12.16 The Predictions from the "Modern" Models
  • 12.17 Conclusions
  • References
  • 13 The Econometrics of Fixed-Income Markets
  • 13.1 Introduction
  • 13.2 Different types of term Structure Models
  • 13.3 Parametric Estimation Methods
  • 13.4 Maximum Likelihood Estimation
  • 13.5 Constructing the Likelihood Function: Expansion of the Transition Density
  • 13.6 Concluding Remarks
  • Acknowledgments
  • References
  • 14 Recent Advances in Old Fixed-Income Topics: Liquidity, Learning, and the Lower Bound
  • 14.1 Introduction
  • 14.2 Liquidity
  • 14.3 Learning
  • 14.4 Lower Bound
  • 14.5 Conclusion
  • Acknowledgments
  • 14.6 Appendix: Moments of Truncated Bivariate Distribution
  • References
  • 15 The Economics of the Comovement of Stocks and Bonds
  • 15.1 Introduction
  • 15.2 A Brief Literature Survey
  • 15.3 The Stock-Bond Covariance and Learning about Fundamentals
  • 15.4 Beliefs from Surveys and from the Model
  • 15.5 Survey and Model Beliefs and the Stock-Bond Covariance
  • 15.6 Some International Evidence
  • 15.7 Summary
  • Acknowledgments
  • References
  • Part VI: Derivatives: Markets and Pricing.
  • 16 Interest Rate Derivatives Products and Recent Market Activity in the New Regulatory Framework
  • 16.1 Introduction
  • 16.2 Background on the New Derivatives Regulatory Framework
  • 16.3 Exchange-Traded Derivatives
  • 16.4 Noncleared Swaps
  • 16.5 Cleared Swaps
  • 16.6 Comparative Market Activity Across Execution Venues
  • 16.7 Liquidity Fragmentation in Nondollar Swaps
  • 16.8 Prospects for the Future
  • 16.9 Appendix: The New Regulatory Framework for Interest Rate Derivatives in the United States and European Union
  • Acknowledgments
  • References
  • 17 Risk-Neutral Pricing: Trees
  • 17.1 Introduction
  • 17.2 Binomial Trees
  • 17.3 Risk-Neutral Pricing on Multistep Trees
  • 17.4 From Diffusion Models to Binomial Trees
  • 17.5 Trinomial Trees
  • References
  • 18 Discounting and Derivative Pricing Before and After the Financial Crisis: An Introduction
  • 18.1 Introduction
  • 18.2 Forward Rate Agreements (FRAs)
  • 18.3 Overnight Index Swaps (OISs)
  • 18.4 Libor-Based Swaps
  • 18.5 The Crisis and The Double-Curve Pricing of Libor-Based Swaps
  • 18.6 The Pricing Of Libor-Based Interest Rate Options
  • 18.7 Conclusions
  • References
  • Part VII: Advanced Topics in Derivatives Pricing
  • 19 Risk-Neutral Pricing: Monte Carlo Simulations
  • 19.1 Introduction
  • 19.2 Risk-Neutral Pricing
  • 19.3 Risk-Neutral Pricing: Monte Carlo Simulations
  • 19.4 Valuation by Monte Carlo Simulation
  • 19.5 Monte Carlo Simulations in Multifactor Models
  • 19.6 Conclusion
  • References
  • 20 Interest Rate Derivatives and Volatility
  • 20.1 Introduction
  • 20.2 Markets and the Institutional Context
  • 20.3 Dissecting the instruments
  • 20.4 Evaluation Paradigms
  • 20.5 Pricing and Trading Volatility
  • 20.6 Conclusions
  • 20.7 Appendix
  • Acknowledgments
  • References
  • 21 Nonlinear Valuation under Margining and Funding Costs with Residual Credit Risk: A Unified Approach.
  • 21.1 Introduction
  • 21.2 Collateralized Credit and Funding Valuation Adjustments
  • 21.3 General Pricing Equation Under Credit, Collateral, and Funding
  • 21.4 Numerical Results: Extending the Black-Scholes Analysis
  • 21.5 Extensions
  • 21.6 Conclusions: Bilateral Prices or Nonlinear Values?
  • References
  • Part VIII: Corporate and Sovereign Bonds
  • 22 Corporate Bonds
  • 22.1 Introduction
  • 22.2 Market and Data
  • 22.3 A Very Simple Model
  • 22.4 Structural Models
  • 22.5 Reduced-form Models
  • 22.6 Risk Premia in Intensity Models
  • 22.7 Dealing with Portfolios
  • 22.8 Illiquidity as a Source Of Spreads
  • 22.9 Some Additional Readings
  • 22.10 Conclusion
  • References
  • 23 Sovereign Credit Risk
  • 23.1 Introduction
  • 23.2 Literature Review
  • 23.3 Modeling Sovereign Default
  • 23.4 Credit Risk Premia
  • 23.5 Estimating Intensity Models
  • 23.6 Application to Emerging Markets
  • 23.7 Application to the European Debt Crisis
  • 23.8 Conclusion
  • 23.9 Appendix: No Arbitrage Pricing
  • References
  • Index
  • End User License Agreement.

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