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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
An Overview of Global Fixed Income Markets 1
PART ONE The Relative Pricing of Securities with Fixed Cash Flows 47
CHAPTER 1 Prices, Discount Factors, and Arbitrage 51
CHAPTER 2 Spot, Forward, and Par Rates 69
CHAPTER 3 Returns, Spreads, and Yields 95
PART TWO Measures of Interest Rate Risk and Hedging 119
CHAPTER 4 One-Factor Risk Metrics and Hedges 123
CHAPTER 5 Multi-Factor Risk Metrics and Hedges 153
CHAPTER 6 Empirical Approaches to Risk Metrics and Hedging 171
PART THREE Term Structure Models 201
CHAPTER 7 The Science of Term Structure Models 207
CHAPTER 8 The Evolution of Short Rates and the Shape of the Term Structure 229
CHAPTER 9 The Art of Term Structure Models: Drift 251
CHAPTER 10 The Art of Term Structure Models: Volatility and Distribution 275
CHAPTER 11 The Gauss+ and LIBOR Market Models 287
PART FOUR Selected Securities and Topics 325
CHAPTER 12 Repurchase Agreements and Financing 327
CHAPTER 13 Forwards and Futures: Preliminaries 351
CHAPTER 14 Note and Bond Futures 373
CHAPTER 15 Short-Term Rates and Their Derivatives 401
CHAPTER 16 Swaps 435
CHAPTER 17 Arbitrage with Financing and Two-Curve Discounting 457
CHAPTER 18 Fixed Income Options 483
CHAPTER 19 Corporate Bonds and Credit Default Swaps 527
CHAPTER 20 Mortgages and Mortgage-Backed Securities 563
CHAPTER 21 Curve Construction 591