Treasury Securities and Derivatives

by Fabozzi, Frank J.

• ISBN13: 9781883249236
• ISBN10: 1883249236
• Edition: 1st
• Format: Hardcover
• Copyright: 1997-12-15
• Publisher: Wiley

Summary

Treasury securities represent the largest sector of interest rate markets. This book will provide securities newcomers with the tools they need to get up to speed and seasoned professionals with a valuable reference source. The book covers every aspect of the market, including: the basics, valuation techniques, risk analysis, and utilizing derivatives to control interest rate risk.

Author Biography

Frank J. Fabozzi is a financial consultant, the editor of the Journal of Portfolio Management, and an Adjunct Professor of Finance at Yale University's School of Management.

Table of Contents

Acknowledgements	iv
1. U.S. Treasury Securities	1	(24)
2. Valuation of Treasury Securities	25	(14)
3. Yield and Return Calculations	39	(20)
4. The Term Structure of Interest Rates	59	(10)
5. Sport Rates, Forward Rates, and Theories of the Term Structure of Interest Rates	69	(22)
6. Measuring Level Risk	91	(18)
7. Measuring Yield Curve Risk	109	(16)
8. Measuring Historical Yield Volatility and Forecasting Yield Volatility	125	(18)
9. Repurchase Agreements	143	(20)
10. Tax Treatment	163	(8)
11. Cash Market Trading Strategies	171	(24)
12. Treasury Futures Contracts	195	(14)
13. Treasury Options	209	(12)
14. Valuation of Treasury Futures and Options	221	(34)
15. Controlling Interest Rate Level Risk with Treasury Futures and Options	255	(32)
16. Basis Trading with Futures and Volatility Trades with Options	287	(12)
Index	299