Fixed Income and Interest Rate Derivative Analysis - 1st Edition - ISBN: 9780750640121, 9780080506548

Fixed Income and Interest Rate Derivative Analysis

1st Edition

Authors: Mark Britten-Jones
Hardcover ISBN: 9780750640121
eBook ISBN: 9780080506548
Imprint: Butterworth-Heinemann
Published Date: 15th October 1998
Page Count: 220
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Description

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.

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

Primary: Students of finance courses:

  • 3rd year undergraduates
  • MBA students
  • Students of Masters degrees in Finance

Secondary: Fixed income analysts Fund managers

Table of 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.

Details

No. of pages:
220
Language:
English
Copyright:
© Butterworth-Heinemann 1998
Published:
Imprint:
Butterworth-Heinemann
eBook ISBN:
9780080506548
Hardcover ISBN:
9780750640121

About the Author

Mark Britten-Jones