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| FIXED INCOME AND INTEREST RATE DERIVATIVE ANALYSIS
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To order this title, and for more information, click here
By
Mark Britten-Jones, BEcon (Adelaide) MA PhD (UCLA), Assistant Professor of Finance at London Business School, who teaches the fixed income module of the school's
Masters course in Finance.Beofre teaching, he worked at the Reserve Bank of Australia and at Macquarie Bank.
Description
Fixed Income and Interest Rate Derivative Analysis gives a clear and accessible approach to the analytical techniques of debt instrument
valuation. Without using complicated mathematical abstractions, this text shows that the fundamentals of fixed income and interest rate
derivate analysis can be easily understood when seen as a small number of simple economic concepts.
* A comprehensive and accessible
explanation of underlying theory, and its practical application * Case studies and worked examples from around the world's capital markets
* How to use spreadsheet modelling in fixed income and interest rate derivative analysis
Concepts inroduced in this book are reinforced
and explained, not with the use of high-powered mathematics, but with actual examples of various market instruments and case studies
from North America, Europe, Australia and Hong Kong. The text also contains review questions which aid the reader in their understanding.
Mark Britten-Jones, BEcon, MA, PhD, is an Assistant Professor of Finance at the London Business School where he teaches Fixed Income
Securities and Markets as part of a MBA and Master's course in Finance.
Audience
Primary:
Students of finance courses:
* 3rd year undergraduates
* MBA students
* Students of Masters degrees in Finance
Secondary:
*Fixed income analysts
*Fund managers
Contents
Preface; Acknowledgements; Fixed cash flows - Valuation of fixed cash flows with perfect replication; Imperfect replication: immunization
and duration; Simple random cash flows - Forward rates, T-bill futures, and quasi-arbitrage; The eurodollar market and simple interest
rate swaps; General rate-sensitive cash flows - No-arbitrage and risk-neutral pricing; State prices, forward induction, and tree-fitting;
The Black-Derman-Toy Model; Convexity; Callable and convertible bonds; Credit risk; Continuous-time finance; Index.
| Bibliographic details |
Hardbound, 220 pages, publication date: OCT-1998
ISBN-13: 978-0-7506-4012-1
ISBN-10: 0-7506-4012-X
Imprint: BUTTERWORTH HEINEMANN
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| Price and Ordering |
Price:
USD 104
EUR 86.95
GBP 74
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Last update: 7 Sep 2009
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