Preface | |
Acknowledgments | |
Bond Evaluation | |
Overview of the Financial System | |
Real and Financial Assets | |
Types of Debt Claims | |
Financial Market | |
Types of Financial Markets | |
Regulations | |
Efficient Financial Markets | |
Characteristics of Assets | |
Conclusion | |
Key Terms | |
Problems and Questions | |
Web Exercises | |
Notes | |
Selected References | |
Bond Value and Return | |
Introduction | |
Bond Valuation | |
The Yield to Maturity and Other Rates of Return Measures | |
Rates on Zero-Coupon Bonds | |
Total Return | |
Geometric Mean | |
Conclusion | |
Key Terms | |
Problems and Questions | |
Web Exercises | |
Notes | |
Selected References | |
the Level and Structure of Interest Rates | |
Introduction | |
Level of Interest Rates | |
the Structure of Interest Rates | |
Conclusion | |
Key Terms | |
Problems and Questions | |
Web Exercises | |
Notes | |
Selected References | |
the Term Structure of Interest Rates | |
Introduction | |
Market Segmentation Theory | |
Preferred Habitat Theory | |
Pure Expectations Theory | |
Liquidity Premium Theory | |
Summary of Term Structure Theories | |
Constructing the Benchmark Yield Curve | |
Conclusion | |
Key Terms | |
Problems and Questions | |
Web Exercises | |
Notes | |
Selected References | |
Bond Risk | |
Introduction | |
Default Risk | |
Market Risk | |
Duration and Convexity | |
Conclusion | |
Key Terms | |
Problems and Questions | |
Web Exercises | |
Notes | |
Selected References | |
Debt Markets | |
Corporate Debt Securities | |
Introduction | |
Corporate Bonds | |
Bankruptcy | |
The Markets for Corporate Bonds | |
Medium-Term Notes | |
Commercial Paper | |
Conclusion | |
Key Terms | |
Problems and Questions | |
Web Exercises | |
Notes | |
Selected References | |
Treasury and Agency Securities | |
Introduction | |
Treasury Instruments | |
Repurchase Agreements | |
Federal Agency Securities | |
Conclusion | |
Key Terms | |
Problems and Questions | |
Web Exercises | |
Notes | |
Selected References | |
Municipal Securities | |
Introduction | |
Municipal Financing | |
Tax-Exempt Status | |
Types of Muncipals | |
Special Features of Municipals | |
Credit Risk, Quality Ratings, and Credit Spreads | |
Municipal Bond Markets | |
Conclusion | |
Key Terms | |
Problems and Questions | |
Web Exercises | |
Notes | |
Selected References | |
Intermediary Debt Securities | |
Introduction | |
Banker's Acceptances | |
Mortgage-Backed and Asset-Backed Securities | |
Investment Funds | |
Insurance Companies and Pension Funds | |
Conclusion | |
Key Terms | |
Problems and Questions | |
Web Exercises | |
Notes | |
Selected References | |
International Debt Securities | |
Introduction | |
The Foreign Bond Market | |
The Eurobond Market | |
Non-U.S. Domestic Bonds | |
Emerging Market Debt | |
Global Fixed-Income Mutual Funds and ETFs | |
Foreign Bond Risk and Sovereign Bond Ratings | |
Eurocurrency Market | |
The Foreign Currency Market and Exchange Rate Risk | |
Conclusion | |
Key Terms | |
Problems and Questions | |
Web Exercises | |
Notes | |
Selected References | |
Residential Mortgages and Mortgage-Backed Securities | |
Introduction | |
Residential Mortgage Loans | |
Mortgage Portfolio | |
Mortgage-Backed Securities | |
Features of Mortgage-Backed Securities | |
Collateralized Mortgage Obligations and Strips | |
Evaluating Mortgage-Backed Securities | |
Conclusion | |
Key Terms | |
Problems and Questions | |
Web Exercises | |
Notes | |
Selected References | |
Nonagency Residential Mbss, Commercial Mbss and Other Asset-Backed Securities | |
Introduction | |
Nonagency Mortgage-Backed Securities | |
Commercial Mortgage-Back Securities | |
Asset-Backed Securities | |
Collateralized Debt Obligations | |
Conclusion | |
Key Terms | |
Problems and Questions | |
Web Exercises | |
Notes | |
Selected References | |
Bond Strategies and the Evaluation of Bonds with Embedded Options | |
Bond Investment Strategies | |
Introduction | |
Active Investment Strategies | |
Passive Bond Management Strategies | |
Bond Immunization Strategies | |
Conclusion | |
Key Terms | |
Problems and Questions | |
Web Exercises | |
Notes | |
Selected References | |
Binomial Interest Rate Trees and the Valuation of Bonds with Embedded Options | |
Introduction | |
Binomial Interest Rate Model | |
Valuing Bonds with Other Option Features | |
Convertible Bond | |
Valuing Mortgage-Backed Securities | |
Key Terms | |
Problems and Questions | |
Web Exercises | |
Notes | |
Selected References | |
Estimating the Binomial Tree | |
Introduction | |
Subdividing the Binomial Tree | |
Estimating the Binomial Tree | |
U and D Estimation Approach | |
CALIBRATION MODEL | |
Option-Adjusted Spread | |
Duration and Convexity | |
A Note on the Black-Scholes Option Pricing Model | |
Conclusion | |
Key Terms | |
Problems and Questions | |
Web Exercises | |
Notes | |
Selected References | |
Debt Derivatives: Futures and Options | |
Futures Contracts on Debt Securities: Fundamentals | |
Introduction | |
The Market and Characteristics of Futures on Debt Securities | |
The Nature of Futures Trading and the Role of the Clearinghouse and Margins | |
Futures Hedging | |
Futures Pricing | |
Conclusion | |
Key Terms | |
Problems and Questions | |
Web Exercises | |
Notes | |
Selected References | |
Interest Rate Option Contracts: Fundamentals | |
Introduction | |
Option Terminology | |
Markets and Types of Interest Rate Options | |
OPTION POSITIONS | |
Option Trading - Microstructure | |
Option Price Relationships | |
Conclusion | |
Key Terms | |
Problems and Questions with Solutions | |
Web Exercises | |
Notes | |
Selected References | |
Managing Fixed-Income Positions with Interest-Rate Derivatives | |
Introduction | |
Hedging Fixed-Income Positions | |
Cross Hedging | |
Speculating with Interest Rate Derivatives | |
Synthetic Debt and Investment Positions | |
Using Options to Set a Cap or Floor on a Cash Flow | |
Conclusion | |
Key Terms | |
Problems and Questions | |
Web Exercises | |
Notes | |
Selected References | |
Managing Fixed-Income Positions with OTC Derivatives | |
Introduction | |
Hedging with OTC Derivatives | |
Hedging a Series of Cash Flows - OTC Caps and Floors | |
Financing Caps and Floors: Collars and Corridors | |
Other Interest Rate Products | |
Hedging Currency Positions with Foreign Currency Options | |
Conclusion | |
Key Terms | |
Problems and Questions | |
Web Exercises | |
Notes | |
Selected References | |
Swaps | |
Interest Rate Swaps | |
Introduction | |
Generic Interest Rate Swaps | |
Similarities between Swaps and Bond Positions and Eurodollar Futures Strips | |
Swap Market | |
Swap Valuation | |
Comparative Advantage and the Hidden Option | |
Swaps Applications | |
Credit Risk | |
Conclusion | |
Key Terms | |
Problems and Exercises | |
Web Exercises | |
Notes | |
Selected References | |
Swap Derivatives: Forward Swaps and Swaptions | |
Introduction | |
Forward Swaps | |
Swaptions | |
Hedging | |
Cancelable and Extendable Swaps | |
Non-Generic Swaps | |
Conclusion | |
Key Terms | |
Problems and Exercises | |
Notes | |
Selected References | |
Currency and Credit Default Swaps | |
Introduction | |
Currency Swaps | |
Credit Default Swaps | |
Conclusion | |
Key Terms | |
Problems and Questions | |
Web Exercises | |
Notes | |
Selected References | |
Uses of Exponents and Logarithms | |
Mathematical Statistical Concepts | |
Primer on Return, Present Value, and Future Value | |
Global Investments and Exchange Rates | |
Web Site Information and Examples | |
Arbitrage Features of the Calibration Model | |
T-Bond Delivery Procedure and Equilibrium Pricing | |
Pricing interest rate options with a Binomial Interest Tree | |
What's on the Comapnion Website | |
Answers and Solutions to Select End-Of-Chapter Problems | |
Glossary | |
Index | |
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