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Fixed income markets : management, trading and hedging /
"Takes a unique look into the leading practices in bond markets as well as post-credit-crunch impacts on pricing that are rarely captured in textbooks. The new edition provides expanded coverage on a wide range of topics within hedging, derivatives, bonds, rebalancing, and global debt capital m...
| Clasificación: | Libro Electrónico |
|---|---|
| Autor principal: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Singapore :
John Wiley & Sons,
[2014]
|
| Edición: | Second edition. |
| Temas: | |
| Acceso en línea: | Texto completo (Requiere registro previo con correo institucional) |
Tabla de Contenidos:
- Machine generated contents note: ch. 1 The Bond Instrument
- ch. 2 Bond Instruments and Interest-Rate Risk
- Appendix 2.1 Formal Derivation of Modified-Duration Measure
- Appendix 2.2 Measuring Convexity
- Appendix 2.3 Taylor Expansion of the Price/Yield Function
- ch. 3 Bond Pricing, Spot, and Forward Rates
- Appendix 8.1 The Integral
- Appendix 8.2 The Derivation of the Bond Price Equation in Continuous lime
- ch. 4 Interest-Rate Modelling
- Appendix 4.1 Geometric Brownian Motion
- ch. 5 Fitting the Yield Curve
- Appendix 5.1 Linear Regression: Ordinary Least Squares
- Appendix 5.2 Regression Splines
- ch. 6 The Money Markets
- Appendix 6.1
- ch. 7 Hybrid Securities and Structured Securities
- ch. 8 Bonds with Embedded Options and Option-Adjusted Spread Analysis
- Appendix 8.1 Calculating Interest Rate Paths Using Microsoft Excel
- ch. 9 Inflation-Indexed Bonds and Derivatives
- Appendix 9.1 Current Issuers of Public-Sector Indexed Securities.
- Note continued: Appendix 9.2 U.S. Treasury Inflation-Indexed Securities (TIPS)
- ch. 10 Introduction to Securitisation and Asset-Backed Securities
- ch. 11 Forwards and Futures Valuation
- ch. 12 Bond Futures Contracts
- Appendix 12.1 The Conversion Factor for the Long Gilt Future
- ch. 13 Swaps
- Appendix 13.1 Calculating Futures Strip Rates and Implied Swap Rates
- ch. 14 Credit Derivatives I: Instruments and Applications
- Appendix 14.1 Bond Credit Ratings
- ch. 15 Credit Derivatives II: Pricing, Valuation, and the Basis
- ch. 16 Options I
- Appendix 16.1 Summary of Basic Statistical Concepts
- Appendix 16.2 Lognormal Distribution of Returns
- Appendix 16.3 Black-Scholes Model in Microsoft Excel
- ch. 17 Options II
- ch. 18 Value-at-Risk and Credit VaR
- Appendix 18.1 Assumption of Normality
- ch. 19 Government Bond Analysis, the Yield Curve, and Relative-Value Trading
- ch. 20 Approaches to Trading and Hedging.
- Note continued: Appendix 20.1 Summary of Derivation of Optimum Hedge Equation
- Appendix 20.2 Forward-Rate Structure in Conventional Yield-Curve Environment
- ch. 21 Derivatives Risk Management: Convexity, Collateral, and Correlation.