Municipal derivative securities: uses and valuation
Municipal Derivative Securities makes the "complex" simple, clearly explaining the new securities, their payment characteristics, and price volatility. The book takes a three-step fool-proof approach to understanding and valuing derivative securities that involves: 1. Using expectational a...
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| Main Authors: | , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Burr Ridge, Ill.
Irwin
1995
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Summary: | Municipal Derivative Securities makes the "complex" simple, clearly explaining the new securities, their payment characteristics, and price volatility. The book takes a three-step fool-proof approach to understanding and valuing derivative securities that involves: 1. Using expectational analysis to quantify future interest rates and determine risk/return scenarios; 2. Recognizing the structure of municipal derivatives, including the characteristics of forwards/futures, swaps, options, and other derivative components; and 3. Following the authors' Derivative Asset Pricing Model - a framework for properly valuing even the most complex securities now and in the future. Municipal Derivative Securities also explains the mathematics of municipal bond valuation, including bond pricing and computation of yield, duration, convexity, and price volatility. Most important, you'll find examples of five different derivative securities that include step-by-step guidelines of proper valuation. |
| Physical Description: | XVI, 285 S. graph. Darst. |
| ISBN: | 0786302518 |
Staff View
MARC
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| 520 | 3 | |a Municipal Derivative Securities makes the "complex" simple, clearly explaining the new securities, their payment characteristics, and price volatility. The book takes a three-step fool-proof approach to understanding and valuing derivative securities that involves: 1. Using expectational analysis to quantify future interest rates and determine risk/return scenarios; 2. Recognizing the structure of municipal derivatives, including the characteristics of forwards/futures, swaps, options, and other derivative components; and 3. Following the authors' Derivative Asset Pricing Model - a framework for properly valuing even the most complex securities now and in the future. Municipal Derivative Securities also explains the mathematics of municipal bond valuation, including bond pricing and computation of yield, duration, convexity, and price volatility. Most important, you'll find examples of five different derivative securities that include step-by-step guidelines of proper valuation. | |
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Record in the Search Index
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| adam_text | CONTENTS
CHAPTER 1 OVERVIEW OF MUNICIPAL DERIVATIVE SECURITIES 1
Introduction, 1
Definition of Derivative Securities, 1
Understanding Derivative Securities, 3
Structure Value of Derivatives, 5
Basic Concepts Underlying Derivatives, 6
Expectational Analysis and Implied Forward Rates, 7
The Building Blocks of Derivative Securities, 8
The Derivative Asset Pricing Model, 10
The Valuation Process, 11
Summary, 15
CHAPTER 2 THE MUNICIPAL BOND MARKET 19
Overview, 19
The Municipal Bond Market—General, 20
Types and Volume of Issues, 20
Purchasers of Municipal Bonds, 21
Tax Exemption, 23
Regulation of the Municipal Bond Market, 25
The Primary and Secondary Markets, 26
The Municipal Bond Instrument, 27
Security, 28
Interest Rates, 32
Maturity, Redemption and Mandatory Tenders, 50
Legal Opinions, 53
Ratings, 53
Summary, 54
xiii
xiv Contents
CHAPTER 3 THE MATHEMATICS OF MUNICIPAL BONDS 55
Introduction, 55
Present Value, Bond Pricing, and Computation of Yield, 57
Present Value, 57
Bond Pricing: Coupon Bearing Bonds, 59
Bond Pricing: Zero Coupon Bonds, 63
Computation of Yield, 65
Price Volatility, 67
Overview of Bond Price Volatility, 68
The Price Yield Relationship, 69
Duration, 70
Macaulay s Duration, 72
Modified Duration, 81
Problems with Classical Measures of Duration for
Derivative Securities, 83
Duration Measures of Derivative Securities, 85
Convexity, 89
Negative Convexity, 92
Summary, 94
CHAPTER 4 EXPECTATIONAL ANALYSIS 95
Introduction, 95
Theories of the Yield Curve, 96
The Pure Expectations Hypothesis, 97
The Liquidity Preference Hypothesis, 98
The Preferred Habitat Hypothesis, 99
The Yield Curve as a Predictor of Short Term Rates, 101
The Mathematics of Expectational Analysis, 102
Definitions and Notation, 103
Implied Zero Coupon Rates, 103
Implied Forward Rates, 107
The Tax Exempt Yield Curve, 109
Comparison to the Taxable Yield Curve, 109
Reasons for the More Pronounced Upward Slope of the
Tax Exempt Yield Curve, 113
Implied Tax Exempt Forward Rates, 116
Summary, 117
Contents xv
CHAPTER 5 THE BUILDING BLOCKS—DEBT COMPONENTS 119
Introduction, 119
Types of Debt Components,120
Fixed Rate Bond Component, 120
Zero Coupon Bond Component, 121
Level Amortizing Bond Component, 122
Valuation of Debt Components, 123
Basic Valuation Framework, 124
Valuation of Zero Coupon and Level Amortizing Bond
Components, 125
Duration of Debt Components, 128
Use of Debt Components in Municipal Derivative Securities, 128
RIBS, 129
Inverse Floater, 129
Cap Bond, 129
BEAR Floater, 130
BULL Forward BPO, 130
Summary, 131
CHAPTER 6 THE BUILDING BLOCKS—HEDGING COMPONENTS:
FORWARDS, FUTURES, AND SWAPS 132
Introduction, 132
Forward Like and Future Like Components, 133
Introduction, 133
The Relationship between Spot Prices and Futures Prices, 138
Arbitrage and the Cost of Carry Condition, 140
Use of Forward Style Structures in Municipal Derivative
Securities, 148
Interest Rate Swap Like Components, 151
Introduction, 151
Valuation—Implied Forward Rates, 154
Duration of an Interest Rate Swap, 161
Use of Swap Like Structures in Municipal Derivative
Securities, 163
Summary, 166
CHAPTER 7 THE BUILDING BLOCKS—OPTION COMPONENTS:
INTEREST RATE CAPS AND FLOORS 169
Introduction to Options, 169
General, 169
xvi Contents
Payoff Profiles of Options, 172
Relationship between Option Contracts and Futures or
Forwards, 174
Valuation of Options, 177
Variables That Influence Option Value, 177
The Black Scholes Option Pricing Model, 179
Delta of an Option, 186
Interest Rate Cap and Floor Options, 188
Overview, 188
Black s Valuation Model for Caps, 191
Price Duration of an Interst Rate Option, 198
Use of Option Like Structures in Municipal Derivative
Securities, 200
Summary, 203
CHAPTER 8 VALUATION—THE DERIVATIVE ASSET PRICING
MODEL 205
The DAP Model, 205
Introduction, 205
Model Procedure, 206
Structure Value, 211
Valuation of a Residual Interest Bond, 213
General Description ofRIBS SAVRS, 215
Investment Characteristics of RIBS, 217
Valuation of RIBS, 219
Time Duration of RIBS, 225
Price Duration of RIBS, 227
Valuation of an Inverse Floater, 229
General Description of Inverse Floaters, 229
Investment Characteristics of Inverse Floaters, 231
Valuation of an Inverse Floater, 232
Time Duration of Inverse Floaters, 237
Price Duration of an Inverse Floater, 239
Valuation of a Cap Bond, 240
General Description of Cap Bonds, 240
Investment Characteristics of a Cap Bond, 241
Valuation of a Cap Bond, 242
Time Duration of Cap Bonds, 245
Contents xvii
Price Duration of a Cap Bond, 248
Valuation of a BEAR Floater, 249
General Description of a BEAR Floater, 249
Investment Characteristics of a BEAR Floater, 250
Valuation of a BEAR Floater, 251
Time Duration of BEAR Floaters, 256
Price Duration of BEAR Floaters, 258
Valuation of a BULL Forward BPO, 260
General Description of BULL and BEAR Forward BPOs, 261
Structure and Interest Rate Setting Mechanism of BULL and
BEAR Forward BPOs, 262
Investment Characteristics of BULL Forward BPOs, 264
Valuation of a BULL Forward BPO, 265
Time Duration of BULL Forward BPOs, 271
Price Duration of BULL Forward BPOs, 272
Summary, 274
Index, 277
|
| any_adam_object | 1 |
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| dewey-search | 332.63/233/0973 |
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| geographic | USA |
| geographic_facet | USA |
| id | DE-604.BV010037837 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T17:45:23Z |
| institution | BVB |
| isbn | 0786302518 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-006656988 |
| oclc_num | 30399491 |
| open_access_boolean | |
| owner | DE-19 DE-BY-UBM |
| owner_facet | DE-19 DE-BY-UBM |
| physical | XVI, 285 S. graph. Darst. |
| publishDate | 1995 |
| publishDateSearch | 1995 |
| publishDateSort | 1995 |
| publisher | Irwin |
| record_format | marc |
| spelling | Gray, Gary Verfasser aut Municipal derivative securities uses and valuation Gary Gray ; Patrick Cusatis Burr Ridge, Ill. Irwin 1995 XVI, 285 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Municipal Derivative Securities makes the "complex" simple, clearly explaining the new securities, their payment characteristics, and price volatility. The book takes a three-step fool-proof approach to understanding and valuing derivative securities that involves: 1. Using expectational analysis to quantify future interest rates and determine risk/return scenarios; 2. Recognizing the structure of municipal derivatives, including the characteristics of forwards/futures, swaps, options, and other derivative components; and 3. Following the authors' Derivative Asset Pricing Model - a framework for properly valuing even the most complex securities now and in the future. Municipal Derivative Securities also explains the mathematics of municipal bond valuation, including bond pricing and computation of yield, duration, convexity, and price volatility. Most important, you'll find examples of five different derivative securities that include step-by-step guidelines of proper valuation. Mathematisches Modell Derivative securities Prices United States Mathematical models Municipal bonds Municipal bonds United States USA Cusatis, Patrick Verfasser aut HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=006656988&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Gray, Gary Cusatis, Patrick Municipal derivative securities uses and valuation Mathematisches Modell Derivative securities Prices United States Mathematical models Municipal bonds Municipal bonds United States |
| title | Municipal derivative securities uses and valuation |
| title_auth | Municipal derivative securities uses and valuation |
| title_exact_search | Municipal derivative securities uses and valuation |
| title_full | Municipal derivative securities uses and valuation Gary Gray ; Patrick Cusatis |
| title_fullStr | Municipal derivative securities uses and valuation Gary Gray ; Patrick Cusatis |
| title_full_unstemmed | Municipal derivative securities uses and valuation Gary Gray ; Patrick Cusatis |
| title_short | Municipal derivative securities |
| title_sort | municipal derivative securities uses and valuation |
| title_sub | uses and valuation |
| topic | Mathematisches Modell Derivative securities Prices United States Mathematical models Municipal bonds Municipal bonds United States |
| topic_facet | Mathematisches Modell Derivative securities Prices United States Mathematical models Municipal bonds Municipal bonds United States USA |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=006656988&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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