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Angel Serrat holds a PhD in finance from MIT. Prior to joining the industry, he was a member of the finance faculty at The University of Chicago's Graduate School of Business. He has published in journals including The Review of Economic Studies, The Review of Financial Studies, and Econometrica. He was an executive director of strategy groups at Goldman Sachs and Credit Suisse, and later became a managing director at JPMorgan's global proprietary positioning business as a portfolio manager and head of strategy. He is currently a partner at Capula Investment Management, a fixed income asset management firm.
Table of Contents
|Preface to the Third Edition||p. xi|
|An Overview of Global Fixed Income Markets||p. 1|
|The Relative Pricing of Securities with Fixed Cash Flows||p. 47|
|Prices, Discount Factors, and Arbitrage||p. 51|
|Spot, Forward, and Par Rates||p. 69|
|Returns, Spreads, and Yields||p. 95|
|Measures of Interest Rate Risk and Hedging||p. 119|
|One-Factor Risk Metrics and Hedges||p. 123|
|Multi-Factor Risk Metrics and Hedges||p. 153|
|Empirical Approaches to Risk Metrics and Hedging||p. 171|
|Term Structure Models||p. 201|
|The Science of Term Structure Models||p. 207|
|The Evolution of Short Rates and the Shape of the Term Structure||p. 229|
|The Art of Term Structure Models: Drift||p. 251|
|The Art of Term Structure Models: Volatility and Distribution||p. 275|
|The Gauss+ and LIBOR Market Models||p. 287|
|Selected Securities and Topics||p. 325|
|Repurchase Agreements and Financing||p. 327|
|Forwards and Futures: Preliminaries||p. 351|
|Note and Bond Futures||p. 373|
|Short-Term Rates and Their Derivatives||p. 401|
|Arbitrage with Financing and Two-Curve Discounting||p. 457|
|Fixed income Options||p. 483|
|Corporate Bonds and Credit Default Swaps||p. 527|
|Mortgages and Mortgage-Backed Securities||p. 563|
|Curve Construction||p. 591|
|Table of Contents provided by Ingram. All Rights Reserved.|