Sommaire : Contents

PART ONE
The Relative Pricing of Fixed Income Securities with Fixed Cash Flows
CHAPTER 1
Bond Prices, Discount Factors, and Arbitrage
CHAPTER 2
Bond Prices, Spot Rates, and Forward Rates
CHAPTER 3
Yield-to-Maturity
CHAPTER 4
Generalizations and Curve Fitting

PART TWO
Measures of Price Sensitivity and Hedging
CHAPTER 5
One-Factor Measures of Price Sensitivity
CHAPTER 6
Measures of Price Sensitivity Based on Parallel Yield Shifts
CHAPTER 7
Key Rate and Bucket Exposures
CHAPTER 8
Regression-Based Hedging

PART THREE
Term Structure Models
CHAPTER 9
The Science of Term Structure Models
CHAPTER 10
The Short-Rate Process and the Shape of the Term Structure
CHAPTER 11
The Art of Term Structure Models: Drift
CHAPTER 12
The Art of Term Structure Models: Volatility and Distribution
CHAPTER 13
Multi-Factor Term Structure Models
CHAPTER 14
Trading with Term Structure Models

PART FOUR
Selected Securities
CHAPTER 15
Repo
CHAPTER 16
Forward Contracts
CHAPTER 17
Eurodollar and Fed Funds Futures
CHAPTER 18
Interest Rate Swaps
CHAPTER 19
Fixed Income Options
CHAPTER 20
Note and Bond Futures
CHAPTER 21
Mortgage-Backed Securities

Langue : Anglais

Collection : WILEY FINANCE SERIES

Lieu d'édition : TORONTO

Illustration(s) : Tableau(x) ; Schémas

Localisation : Bibliothèque Campus de Nice

Support : Papier

Etat : Présent

Propriétaire : Bibliothèque