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Fixed income markets : instruments, applications, mathematics

Author: Moorad Choudhry
Publisher: Singapore : Wiley, 2004.
Edition/Format:   Print book : EnglishView all editions and formats
Summary:

The market in bond-market securities, also known as the fixed-income market, is large and diverse, and one that plays an important part in global economic development. The vast majority of securities  Read more...

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Material Type: Internet resource
Document Type: Book, Internet Resource
All Authors / Contributors: Moorad Choudhry
ISBN: 0470821361 9780470821367
OCLC Number: 58805232
Description: xix, 898 pages : illustrations ; 24 cm
Contents: Pt. I. Introduction to bonds --
Ch. 1. The bond instrument --
Ch. 2. Bond instruments and interest-rate risk --
Ch. 3. Bond pricing, spot and forward rates --
Ch. 4. Interest rate modelling --
Ch. 5. Fitting the yield curve --
Pt. II. Selected market instruments --
Ch. 6. The money markets --
Ch. 7. Hybrid securities and structured securities --
Ch. 8. Bonds with embedded options and option-adjusted spread analysis --
Ch. 9. Inflation-indexed bonds and derivatives --
Ch. 10. Securitisation and mortgage-backed securities --
Ch. 11. Collateralised debt obligations --
Ch. 12. Structured credit products --
Pt. III. Derivative instruments --
Ch. 13. Forwards and futures valuation --
Ch. 14. Bond futures contracts --
Ch. 15. Swaps --
Ch. 16. The standardised interest-rate swap contract : assessing the LIFFE swapnote contract --
Ch. 17. Credit derivatives I : instruments and applications --
Ch. 18. Credit derivatives II : pricing, valuation and the basis --
Ch. 19. Options I --
Ch. 20. Options II --
Pt. IV. Bond trading and hedging --
Ch. 21. Value-at-risk and credit VaR --
Ch. 22. Government bond analysis, the yield curve and relative-value trading --
Ch. 23. Approaches to trading and hedging --
App. Introduction to the mathematics of fixed income pricing.
Responsibility: Moorad Choudhry.
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