ISBN 13 : 978-1-119-83555-4

Contents :
Preface

Chapter 1 Prices, Discount Factors, and Arbitrage
Chapter 2 Swap, Spot, and Forward Rates
Chapter 3 Returns, Yields, Spreads, and P&L Attribution
Chapter 4 DV01, Duration, and Convexity
Chapter 5 Key-Rate-, Partial-, and Forward-Bucket '01s and Durations
Chapter 6 Regression Hedging and Principal Component Analysis
Chapter 7 Arbitrage Pricing with Term Structure Models
Chapter 8 Expectations, Risk Premium, Convexity, and the Shape of the Term Structure
Chapter 9 The Vasicek and Gauss+ Models
Chapter 10 Repurchase Agreements and Financing
Chapter 11 Note and Bond Futures
Chapter 12 Short-Term Rates and Their Derivatives
Chapter 13 Interest Rate Swaps
Chapter 14 Corporate Debt and Credit Default Swaps
Chapter 15 Mortgages and Mortgage-Backed Securities
Chapter 16 Fixed Income Options

Appendices
Index

Nbre volumes : 0

Language : English

Series : WILEY FINANCE SERIES

Print : 4ème

Place of publishing : TORONTO

Figure(s) : Tableau(x) ; Schémas

Location : Nice Library

Material : Paper

Statement : Présent

Owner : Bibliothèque