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9781883249250

Valuation of Fixed Income Securities and Derivatives

by
  • ISBN13:

    9781883249250

  • ISBN10:

    1883249252

  • Edition: 3rd
  • Format: Hardcover
  • Copyright: 1998-01-15
  • Publisher: Wiley

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Supplemental Materials

What is included with this book?

Summary

The authoritative resource for understanding and practicing valuation of both common fixed income investment vehicles and complex derivative instruments-now updated to cover valuing interest rate caps and floors.

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

Preface iv(1)
Index of Advertisers v
1. Fundamental Valuation Principles
1(16)
2. Spot Rates and Their Role in Valuation
17(26)
3. Forward Rates and Term Structure Theories
43(22)
4. Measuring Price Sensitivity to Interest Rate Changes
65(14)
5. Overview of the Valuation of Bonds with Embedded Options
79(12)
6. Binomial Model I: Valuing Callable Bonds
91(24)
7. Binomial Model II: Valuing Other Bond Structures
115(14)
8. Monte Carlo Model for Valuing Mortgage-Backed Securities
129(26)
9. Valuation of Asset-Backed Securities
155(14)
10. Valuation of Inverse Floaters
169(14)
11. Valuation of Convertible Securities
183(14)
12. Valuation of Interest Rate Futures Contracts
197(26)
13. Valuation of Options on Fixed Income Instruments and Interest Rate Futures
223(16)
14. Valuation of Interest Rate Swaps
239(14)
15. Valuation of Interest Rate Caps and Floors
253(10)
16. Estimating Yield Volatility
263(12)
Index 275

Supplemental Materials

What is included with this book?

The New copy of this book will include any supplemental materials advertised. Please check the title of the book to determine if it should include any access cards, study guides, lab manuals, CDs, etc.

The Used, Rental and eBook copies of this book are not guaranteed to include any supplemental materials. Typically, only the book itself is included. This is true even if the title states it includes any access cards, study guides, lab manuals, CDs, etc.

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