| Description |
xv, 512 pages : illustrations ; 24 cm |
| Series |
Wiley finance series |
|
Wiley finance series.
|
| Contents |
Pt. 1. The Relative Pricing of Fixed Income Securities with Fixed Cash Flows -- Ch. 1. Bond Prices, Discount Factors, and Arbitrage -- Ch. 2. Bond Prices, Spot Rates, and Forward Rates -- Ch. 3. Yield-to-Maturity -- Ch. 4. Generalizations and Curve Fitting -- Pt. 2. Measures of Price Sensitivity and Hedging -- Ch. 5. One-Factor Measures of Price Sensitivity -- Ch. 6. Measures of Price Sensitivity Based on Parallel Yield Shifts -- Ch. 7. Key Rate and Bucket Exposures -- Ch. 8. Regression-Based Hedging -- Pt. 3. Term Structure Models -- Ch. 9. The Science of Term Structure Models -- Ch. 10. The Short-Rate Process and the Shape of the Term Structure -- Ch. 11. The Art of Term Structure Models: Drift -- Ch. 12. The Art of Term Structure Models: Volatility and Distribution -- Ch. 13. Multi-Factor Term Structure Models -- Ch. 14. Trading with Term Structure Models -- Pt. 4. Selected Securities -- Ch. 15. Repo -- Ch. 16. Forward Contracts -- Ch. 17. Eurodollar and Fed Funds Futures |
|
Ch. 18. Interest Rate Swamps -- Ch. 19. Fixed Income Options -- Ch. 20. Note and Bond Futures -- Ch. 21. Mortgage-Backed Securities |
| Bibliography |
Includes bibliographical references (pages 497-499) and index |
| Subject |
Fixed-income securities.
|
| LC no. |
2002005425 |
| ISBN |
0471063177 (cloth) |
|
0471063223 (paperback) |
|
