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Produktbild: Fixed-Income Securities and Derivatives Handbook

Fixed-Income Securities and Derivatives Handbook Analysis and Valuation

Aus der Reihe Bloomberg Professional

91,99 €

inkl. gesetzl. MwSt., Versandkostenfrei

Beschreibung

Produktdetails

Einband

Gebundene Ausgabe

Erscheinungsdatum

02.08.2010

Verlag

John Wiley & Sons Inc

Seitenzahl

496

Maße (L/B/H)

23,5/15,7/3,1 cm

Gewicht

864 g

Auflage

2nd edition

Sprache

Englisch

ISBN

978-1-57660-334-5

Beschreibung

Produktdetails

Einband

Gebundene Ausgabe

Erscheinungsdatum

02.08.2010

Verlag

John Wiley & Sons Inc

Seitenzahl

496

Maße (L/B/H)

23,5/15,7/3,1 cm

Gewicht

864 g

Auflage

2nd edition

Sprache

Englisch

ISBN

978-1-57660-334-5

Herstelleradresse

Libri GmbH
Europaallee 1
36244 Bad Hersfeld
DE

Email: gpsr@libri.de

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  • Produktbild: Fixed-Income Securities and Derivatives Handbook
  • Foreword.
     
    Preface.
     
    PART ONE: INTRODUCTION TO BONDS.
     
    1 The Bond Instrument.
     
    The Time Value of Money.
     
    Bond Pricing and Yield: The Traditional Approach.
     
    Accrued Interest.
     
    2 Bond Instruments and Interest Rate Risk.
     
    Duration, Modifi ed Duration, and Convexity.
     
    3 Bond Pricing and Spot and Forward Rates.
     
    Zero-Coupon Bonds.
     
    Coupon Bonds.
     
    Bond Price in Continuous Time.
     
    Forward Rates.
     
    Term Structure Hypotheses.
     
    4 Interest Rate Modeling.
     
    Basic Concepts.
     
    One-Factor Term-Structure Models.
     
    Further One-Factor Term-Structure Models.
     
    Choosing a Term-Structure Model.
     
    5 Fitting the Yield Curve.
     
    Non-Parametric Methods.
     
    Comparing Curves.
     
    Fitting the Term Structure of Interest Rates: The Practical Implementation of Cubic Spline Methodology.
     
    Cubic Spline Methodology.
     
    The Hypothesis.
     
    Practical Approach.
     
    A Look at Forward Rates.
     
    Conclusion.
     
    PART TWO: SELECTED CASH AND DERIVATIVE INSTRUMENTS.
     
    6 Forwards and Futures Valuation.
     
    Forwards and Futures.
     
    Forward-Spot Parity.
     
    The Basis and Implied Repo Rate.
     
    7 Swaps.
     
    Interest Rate Swaps.

    Generic Swap Valuation.
     
    Non-Plain Vanilla Interest Rate Swaps.
     
    Interest Rate Swap Applications.
     
    8 Options.
     
    Option Basics.
     
    Option Instruments.
     
    Option Pricing: Setting the Scene.
     
    Option Pricing.
     
    The Black-Scholes Option Model.
     
    Other Option Models.
     
    9 Measuring Option Risk.
     
    Option Price Behavior.
     
    The Greeks.
     
    The Option Smile.
     
    Caps and Floors.
     
    10 Credit Derivatives.
     
    Credit Risk.
     
    Credit Risk and Credit Derivatives.
     
    Credit Derivative Instruments.
     
    Investment Applications.
     
    Credit Derivatives and Relative Value Trading.
     
    Credit-Derivative Pricing.
     
    11 The Analysis of Bonds with Embedded Options.
     
    12 Option-Adjusted Spread Analysis.
     
    13 Convertible Bonds.
     
    Basic Features.
     
    Advantages of Issuing and Holding Convertibles.
     
    Convertible Bond Valuation.
     
    Pricing Spreadsheet.
     
    14 Infl ation-Indexed Bonds.
     
    Basic Concepts.
     
    Index-Linked Bond Cash Flows and Yields.
     
    Analysis of Real Interest Rates.
     
    15 Securitization and Asset-Backed Securities.
     
    The Concept of Securitization.
     
    The Process of Securitization.
     
    Securitizing Mortgages.
     
    Cash Flow Patterns.
     
    ABS Structures: A Primer on Performance Metrics and Test Measures.
     
    Securitization: Features of the 2007-2009 Financial Crisis.
     
    16 Collateralized Debt Obligations.
     
    CDO Structures.
     
    Motivation Behind CDO Issuance.
     
    Analysis and Evaluation.
     
    Expected Loss.
     
    CDO Market Overview Since 2005.
     
    PART THREE: SELECTED MARKET TRADING CONSIDERATIONS.
     
    17 The Yield Curve, Bond Yield, and Spot Rates.
     
    Practical Uses of Redemption Yield and Duration.
     
    Illustrating Bond Yield Using a Microsoft Excel Spreadsheet.
     
    Implied Spot Rates and Market Zero-Coupon Yields.
     
    Implied Spot Yields and Zero-Coupon Bond Yields.
     
    Determining Strip Values.
     
    Strips Market Anomalies.
     
    Strips Trading Strategy.
     
    Case Study: Treasury Strip Yields and Cash Flow Analysis.
     
    18 Approaches to Tra