Fixed income securities : tools for today's markets
著者
書誌事項
Fixed income securities : tools for today's markets
（Wiley frontiers in finance）
J. Wiley, c1995
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注記
Includes bibliographical references and index
内容説明・目次
内容説明
Because they respond to interest rates differently than traditional securities, fixed income securities offer the compelling prospect of increased rewards - and the penalty of added risk. Aimed at money managers and institutional investors, this practical resource shows how to understand and master the fixed income securities market and its new instruments. Using charts and tables that simplify complex subject matter, the guide identifies and describes the USA's array of new fixed income securities - from Treasury strips and caps to floors and swaptions - and shares market-proven approaches to fixed income application and risk control. It takes readers through the basic principles and procedures used in valuing today's fixed income choices and covers the latest fixed income derivatives.
目次
- THE RELATIVE PRICING OF TRADITIONAL FIXED INCOME SECURITIES
- Bond Prices and Discount Factors
- Bond Prices and Interest Rates: Spot and Forward
- Yield-to-Maturity
- Real Data Issues
- THE RELATIVE PRICING OF INTEREST RATE CONTINGENT CLAIMS
- An Introduction to Arbitrage-Free Pricing of Derivatives
- Risk-Neutral Pricing
- Arbitrage-Free Pricing in a Realistic Setting
- The Art of Term-Structure Modeling
- Equilibrium vs
- Arbitrage-Free Models
- MEASURES OF PRICE SENSITIVITY
- The Price-Rate Function and Its Derivative
- Measures of Price Sensitivity
- Macaulay and Modified Duration
- Key Rate Durations
- SELECTED APPLICATIONS
- Forward and Futures Contracts
- Floaters and Inverse Floaters
- Interest Rate Swaps
- The Options Embedded in Corporate Bonds
- Mortgage-Backed Securities
- References
- Index.
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