- Item type
- Ebook
- Language
- English
- Publication year
- 2003
- ISBN
- 978-0-470-86822-5
"This is the first comprehensive textbook for students studying fixedincome securities, and is ideally suited to MBA, MSc and final year undergraduate students in Finance and related topics. The text offers an accessible and detailed account of interest rates and risk management in bond markets. It develops insights into different bond portfolio strategies, and illustrates how various types of derivative securities can be used to shift the risks associated with investing in fixedincome securities. It also provides extensive coverage on all sectors of the bond market, and the techniques for valuing bonds. In addition, explanation is given of stateoftheart techniques for bond portfolio management, including: A description of numerous fixedincome assets and related securities, namely zero coupon government bonds, coupon bearing government bonds, corporate bonds, exchangetraded bond options, bonds with embedded options, floating rate notes, caps, floors and collars, swaptions, credit derivatives, mortgagebacked securities, etc. The development of tools to analyse interest rate sensitivity and to value fixed income securities, with an emphasis on active and passi ve bond management, and an overview of techniques used by mutual fund and also hedge fund managers. With numerous worked examples covering the valuation, risk management and portfolio strategies of fixed income securities, and imaginative discussion of important topics such as deriving the zero yield curve, deriving credit spreads, and hedging interest rate risk, the text provides an accessible route into the complex worlds of fixed income securities." - from back cover.
Preface --- PART I. INVESTMENT ENVIRONMENT --- 1. Bonds and moneymarket instruments --- 2. Bond prices and yields --- PART II. TERM STRUCTURE OF INTEREST RATES --- 3. Empirical properties and classical theories of the term structure --- 4. Deriving the zerocoupon yield curve --- PART III. HEDGING INTEREST RATE RISK --- 5. Hedging interestrate risk with duration --- 6. Beyond duration --- PART IV. INVESTMENT STRATEGIES --- 7. Passive fixedincome portfolio management --- 8. Active fixedincome portfolio management --- 9. Performance measurement on fixedincome portfolios ---PART V. SWAPS AND FUTURES --- 10. Swaps --- 11. Forwards and futures --- PART VI. MODELING THE TERM STRUCTURE OF INTEREST RATES AND CREDIT SPREADS --- 12. Modeling the yield curve dynamics --- 13. Modeling the credit spreads dynamics --- PART VII. PLAIN VANILLA OPTIONS AND MORE EXOTIC DERIVATIVES --- 14. Bonds with embedded options and options on bonds --- 15. Options on futures, caps, floors and swaptions --- 16. Exotic options and credit derivatives --- PART VIII. SECURITIZATION --- 17. Mortgagebacked securities --- 18. Assetbacked securities --- Subject index --- Author index..
