Fixed Income and Interest Rate Derivative Analysis (eBook)
220 Seiten
Elsevier Science (Verlag)
978-0-08-050654-8 (ISBN)
* A comprehensive and accessible explanation of underlying theory, and its practical application * Case studies and worked examples from around the world's capital markets * How to use spreadsheet modelling in fixed income and interest rate derivative analysis
Concepts inroduced in this book are reinforced and explained, not with the use of high-powered mathematics, but with actual examples of various market instruments and case studies from North America, Europe, Australia and Hong Kong. The text also contains review questions which aid the reader in their understanding.
Mark Britten-Jones, BEcon, MA, PhD, is an Assistant Professor of Finance at the London Business School where he teaches Fixed Income Securities and Markets as part of a MBA and Master's course in Finance.
A comprehensive and accessible explanation of underlying theory, and its practical application.
Case studies and worked examples from around the world's capital markets.
How to use spreadsheet modelling in fixed income and interest rate derivative valuation.
Fixed Income and Interest Rate Derivative Analysis gives a clear and accessible approach to the analytical techniques of debt instrument valuation. Without using complicated mathematical abstractions, this text shows that the fundamentals of fixed income and interest rate derivate analysis can be easily understood when seen as a small number of simple economic concepts. Concepts inroduced in this book are reinforced and explained, not with the use of high-powered mathematics, but with actual examples of various market instruments and case studies from North America, Europe, Australia and Hong Kong. The text also contains review questions which aid the reader in their understanding. Mark Britten-Jones, BEcon, MA, PhD, is an Assistant Professor of Finance at the London Business School where he teaches Fixed Income Securities and Markets as part of a MBA and Master's course in Finance. A comprehensive and accessible explanation of underlying theory, and its practical application Case studies and worked examples from around the world's capital markets How to use spreadsheet modelling in fixed income and interest rate derivative valuation
Front Cover 1
Fixed Income and Interest Rate Derivative Analysis 4
Copyright Page 5
Contents 6
Preface 12
Acknowledgements 14
Part I: Fixed Cash Flows 16
Chapter 1. Valuation of fixed cash flows with perfect replication 18
1.1 Implications of a competitive market 18
1.2 Zero prices and market conventions 25
1.3 Fitting the treasury strip curve 32
1.4 Further reading 34
1.5 Questions 34
Chapter 2. Imperfect replication: immunization and duration 35
2.1 Duration-matching 36
2.2 Key rate analysis 44
2.3 Further reading 50
2.4 Questions 50
Part II: Simple Random Cash Flows 54
Chapter 3. Forward rates, T-bill futures, and quasi-arbitrage 56
3.1 Forward contracts 56
3.2 T-bill futures 61
3.3 Repurchase agreements— 'repos' 67
3.4 Transaction costs and quasi-arbitrage 70
3.5 Further reading 74
3.6 Questions 74
Chapter 4. The Eurodollar market and simple interest rate swaps 76
4.1 Eurodollar futures 77
4.2 Forward rate agreements—- FRAs 82
4.3 Floating rate notes 85
4.4 Simple interest rate swaps 88
4.5 Hedging and PVBP 89
4.6 Questions 91
Part III: General Rate-Sensitive Cash Flows 92
Chapter 5. No-arbitrage and risk-neutral pricing 94
5.1 A binomial example—a call option on a 6 month T-bill 94
5.2 State prices 96
5.3 Risk-neutral probabilities 98
5.4 Linking state prices and probabilities 99
5.5 Multi-period valuation 102
5.6 Questions 109
Chapter 6. State prices, forward induction, and tree-fitting 110
6.1 State prices and valuation 110
6.2 Forward induction and the state-price tree 111
6.3 Interest rate trees 116
6.4 Fitting market prices 118
6.5 Questions 119
Chapter 7. The Black–Derman–Toy model 120
7.1 Model characteristics 120
7.2 Implementing BDT 121
7.3 Example: the bias in Eurodollar futures 122
7.4 Example: valuation of an interest rate caplet 124
7.5 Example: valuation of a general FRN 124
7.6 Further reading 125
7.7 Questions 125
Chapter 8. Convexity 126
8.1 Curvature 127
8.2 The convexity adjustment for swap and FRN valuation 133
8.3 Further reading 142
8.4 Questions 142
Chapter 9. Callable and convertible bonds 143
9.1 Valuing callable bonds 144
9.2 Convertible bonds 148
9.3 Further reading 151
9.4 Questions 151
Chapter 10. Credit risk 152
10.1 Credit ratings 152
10.2 A model of credit risk 153
10.3 Further reading 157
Chapter 11. Continuous–time finance 158
11.1 The basics 158
11.2 Ito's lemma 163
11.3 Martingales 165
11.4 The market risk premium or the continuous-time APT 166
11.5 The risk-neutral measure 167
11.6 Change of probability measure 169
11.7 Continuous-time term structure models 170
11.8 References 174
Index 176
| Erscheint lt. Verlag | 15.10.1998 |
|---|---|
| Sprache | englisch |
| Themenwelt | Recht / Steuern ► Wirtschaftsrecht |
| Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung | |
| Betriebswirtschaft / Management ► Spezielle Betriebswirtschaftslehre ► Bankbetriebslehre | |
| Wirtschaft ► Volkswirtschaftslehre ► Finanzwissenschaft | |
| ISBN-10 | 0-08-050654-2 / 0080506542 |
| ISBN-13 | 978-0-08-050654-8 / 9780080506548 |
| Haben Sie eine Frage zum Produkt? |
PDF (Adobe DRM)Größe: 7,5 MB
Kopierschutz: Adobe-DRM
Adobe-DRM ist ein Kopierschutz, der das eBook vor Mißbrauch schützen soll. Dabei wird das eBook bereits beim Download auf Ihre persönliche Adobe-ID autorisiert. Lesen können Sie das eBook dann nur auf den Geräten, welche ebenfalls auf Ihre Adobe-ID registriert sind.
Details zum Adobe-DRM
Dateiformat: PDF (Portable Document Format)
Mit einem festen Seitenlayout eignet sich die PDF besonders für Fachbücher mit Spalten, Tabellen und Abbildungen. Eine PDF kann auf fast allen Geräten angezeigt werden, ist aber für kleine Displays (Smartphone, eReader) nur eingeschränkt geeignet.
Systemvoraussetzungen:
PC/Mac: Mit einem PC oder Mac können Sie dieses eBook lesen. Sie benötigen eine
eReader: Dieses eBook kann mit (fast) allen eBook-Readern gelesen werden. Mit dem amazon-Kindle ist es aber nicht kompatibel.
Smartphone/Tablet: Egal ob Apple oder Android, dieses eBook können Sie lesen. Sie benötigen eine
Geräteliste und zusätzliche Hinweise
Buying eBooks from abroad
For tax law reasons we can sell eBooks just within Germany and Switzerland. Regrettably we cannot fulfill eBook-orders from other countries.
aus dem Bereich
