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9780470644621

Bond Evaluation, Selection, and Management, 2nd Edition

by
  • ISBN13:

    9780470644621

  • ISBN10:

    0470644621

  • Format: eBook
  • Copyright: 2010-09-01
  • Publisher: Wiley
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Summary

Praise for Bond Evaluation, Selection, and Management, SECOND EDITION

"This book is an excellent resource for students or practitioners who want to learn more about bonds."—Jeff Madura, SunTrust Bank Professor of Finance, Florida Atlantic University

"Johnson does an excellent job of covering and integrating a wide range of topics—bond evaluation, debt markets, securitization, binomial valuation, investment strategies, swaps, and debt derivatives. The book also includes many current topics and issues that have recently characterized the fixed-income investment environment—the 2008 financial crisis, China's investments, fixed-income ETFs, subprime mortgages, and credit default swaps. With over 400 end-of-chapter problems and Web exercises, as well as accompanying programs, this book has a strong pedagogical content that will take students from a fundamental to an advanced understanding of the fixed-income market."—Rick Zuber, Chair and Professor of Economics, Belk College of Business, UNC Charlotte

Table of Contents

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 MarketsChapter 6: Corporate Debt Securities
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
Table of Contents provided by Publisher. All Rights Reserved.

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