Book description
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.* New material on Credit Default Swaps, Collateralized Debt Obligations, and an intergrated 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.
Table of contents
- Cover image
- Title page
- Table of Contents
- Copyright
- Dedication
- Preface
- Acknowledgments
-
Part 1: Institutions and conventions
- Chapter 1. Overview of fixed income markets
-
Chapter 2. Price-yield conventions
- Chapter Summary
- 2.1 Concepts of Compounding and Discounting
- 2.2 Yield to Maturity or Internal Rate of Return
- 2.3 Prices in Practice
- 2.4 Prices and Yields of T-Bills
- 2.5 Prices and Yields of T-Notes and T-Bonds
- 2.6 Price-Yield Relation is Convex
- 2.7 Conventions in Other Markets
- Suggested References and Readings
- Chapter 3. Federal Reserve (central bank) and fixed income markets
- Chapter 4. Organization and transparency of fixed income markets
- Chapter 5. Financing debt securities: Repurchase (repo) agreements
- Chapter 6. Auctions of Treasury debt securities
- Part 2: Analytics of fixed income markets
-
Part 3: Some fixed income market segments
-
Chapter 10. Modeling credit risk and corporate debt securities
- Chapter Summary
- 10.1 Defaults, Business Cycles, and Recoveries
- 10.2 Rating Agencies
- 10.3 Structural Models of Default
- 10.4 Implementing Structural Models: The KMV Approach
- 10.5 Costs of Financial Distress and Corporate Debt Pricing
- 10.6 Reduced-Form Models
- 10.7 Credit Spreads Puzzle
- Suggested Readings and References
- Chapter 11. Mortgages, federal agencies, and agency debt
- Chapter 12. Mortgage-backed securities
- Chapter 13. Inflation-linked debt: Treasury inflation-protected securities
-
Chapter 10. Modeling credit risk and corporate debt securities
-
Part 4: Fixed income derivatives
- Chapter 14. Derivatives on overnight interest rates
-
Chapter 15. Eurodollar futures contracts
- Chapter Summary
- 15.1 Eurodollar Markets and LIBOR
- 15.2 Eurodollar Futures Markets and LIBOR
- 15.3 Deriving Swap Rates from ED Futures
- 15.3.1 Eurodollar futures versus swap markets
- 15.4 Intermarket Spreads
- 15.5 Options on ED Futures
- 15.5.1 Caps, floors, and collars on LIBOR
- 15.6 Valuation of Caps
- Suggested Readings and References
- Chapter 16. Interest-rate swaps
- Chapter 17. Treasury futures contracts
- Chapter 18. Credit default swaps: Single-name, portfolio, and indexes
- Chapter 19. Structured credit products: Collateralized debt obligations
- Glossary of financial terms
- Index
Product information
- Title: Fixed Income Markets and Their Derivatives, 3rd Edition
- Author(s):
- Release date: February 2009
- Publisher(s): Academic Press
- ISBN: 9780123704719
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