Modeling Fixed Income Securities and Interest Rate Options.
Modeling Fixed Income Securities and Interest Rate Options, Third Edition presents the basics of fixed-income securities in a way that, unlike competitive texts, requires a minimum of prerequisites. While other books focus heavily on institutional details of the bond market, all of which could easil...
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| Format: | eBook |
| Language: | English |
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Milton :
CRC Press LLC,
2019.
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| Series: | Chapman and Hall/CRC Financial Mathematics Ser.
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| Online Access: | Connect to the full text of this electronic book |
Table of Contents:
- Cover; Half Title; Series Page; Title Page; Copyright Page; Dedication Page; Contents; Preface to the Third Edition; Section I Introduction; Chapter 1 Introduction; 1.1 The Approach; 1.2 Motivation; 1.3 The Methodology; 1.4 An Overview; References; Chapter 2 Traded Securities; 2.1 Treasury Securities; 2.2 Treasury Security Markets; 2.3 Repo Markets; 2.4 Treasury Futures Markets; 2.5 Interest Rate Derivatives on Treasuries; 2.6 Eurodollar Spot, Forward, and Futures Markets; 2.7 Interest Rate Derivatives on LIBOR; References; Chapter 3 The Classical Approach; 3.1 Motivation; 3.2 Coupon Bonds
- 3.3 The Bond's Yield, Duration, Modified Duration, and Convexity3.4 Risk Management; Reference; Section II Theory; Chapter 4 The Term Structure of Interest Rates; 4.1 The Economy; 4.2 The Traded Securities; 4.3 Interest Rates; 4.4 Forward Prices; 4.5 Futures Prices; 4.6 Option Contracts; 4.6.1 Definitions; 4.6.2 Payoff Diagrams; 4.7 Summary; References; Chapter 5 The Evolution of the Term Structure of Interest Rates; 5.1 Motivation; 5.2 The One-Factor Economy; 5.2.1 The State Space Process; 5.2.2 The Bond Price Process; 5.2.3 The Forward Rate Process; 5.2.4 The Spot Rate Process
- 5.3 The Two-Factor Economy5.3.1 The State Space Process; 5.3.2 The Bond Price Process; 5.3.3 The Forward Rate Process; 5.3.4 The Spot Rate Process; 5.4 N e 3-Factor Economies; 5.5 Consistency with Equilibrium; References; Chapter 6 The Expectations Hypothesis; 6.1 Motivation; 6.2 Present Value Form; 6.3 Unbiased Forward Rate Form; 6.4 Relation between the Two Versions of the Expectations Hypothesis; 6.5 Empirical Illustration; 6.5.1 Present Value Form; 6.5.2 Unbiased Forward Rate Form; References; Chapter 7 Trading Strategies, Arbitrage Opportunities, and Complete Markets; 7.1 Motivation
- 7.2 Trading Strategies7.3 Arbitrage Opportunities; 7.4 Complete Markets; Chapter 8 Bond Trading Strategies
- An Example; 8.1 Motivation; 8.2 Method 1: Synthetic Construction; 8.2.1 An Arbitrage-Free Evolution; 8.2.2 Complete Markets; 8.3 Method 2: Risk-Neutral Valuation; 8.3.1 Risk-Neutral Probabilities; 8.3.2 Risk-Neutral Valuation; 8.3.3 Exploiting an Arbitrage Opportunity; Chapter 9 Bond Trading Strategies
- The Theory; 9.1 The One-Factor Economy; 9.1.1 Complete Markets; 9.1.2 Risk-Neutral Probabilities; 9.1.3 Risk-Neutral Valuation; 9.1.4 Bond Trading Strategies
- 9.2 The Two-Factor Economy9.2.1 Complete Markets; 9.2.2 Risk-Neutral Probabilities; 9.2.3 Risk-Neutral Valuation; 9.2.4 Bond Trading Strategies; 9.3 Multiple Factor Economies; Appendix; References; Chapter 10 Contingent Claims Valuation
- Theory; 10.1 Motivation; 10.2 The One-Factor Economy; 10.2.1 Complete Markets; 10.2.2 Risk-Neutral Probabilities; 10.2.3 Risk-Neutral Valuation; 10.3 The Two-Factor Economy; 10.3.1 Complete Markets; 10.3.2 Risk-Neutral Probabilities; 10.3.3 Risk-Neutral Valuation; 10.4 Multiple Factor Economies; Appendix; Section III Applications; Chapter 11 Coupon Bonds