Fixed Income and Interest Rate Derivative Analysis
1st Edition
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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.
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.
Key Features
- 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 valuation
Readership
Students of finance courses: 3rd year undergraduates; MBA students; Students of Masters degrees in Finance. Fixed income analysts; Fund managers
Table of Contents
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
Details
- No. of pages:
- 220
- Language:
- English
- Copyright:
- © Butterworth-Heinemann 1998
- Published:
- 15th October 1998
- Imprint:
- Butterworth-Heinemann
- Hardcover ISBN:
- 9780750640121
- eBook ISBN:
- 9780080506548