Money and capital markets: pricing, yields and analysis
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
St. Leonards
Allen & Unwin
1996
|
| Edition: | 2. ed. |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XIII, 217 S. graph. Darst. |
| ISBN: | 1864481595 |
Staff View
MARC
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| 245 | 1 | 0 | |a Money and capital markets |b pricing, yields and analysis |c Michael Sherris |
| 250 | |a 2. ed. | ||
| 264 | 1 | |a St. Leonards |b Allen & Unwin |c 1996 | |
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Record in the Search Index
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Contents
Preface to the Second Edition x
Acknowledgments xiii
1 Price calculations for short term securities 1
Simple interest 1
Accumulation at simple interest 1
Present value (or discounted value) at simple interest 3
Simple discount 6
Relationship between simple interest and simple discount 8
365 and 360 day years 10
Bills, promissory notes and short term government securities 11
Certificates of deposit 14
2 Yield calculations for short term securities 15
Calculation of yields 15
Holding period calculations 17
Riding the yield curve 18
Break even analysis and funding costs 20
Transaction costs 22
Effect of tax 23
3 Pricing of long term securities 27
Compound interest 27
Accumulation with compound interest 27
Present values with compound interest 29
Nominal and effective rates 30
Zero coupon bonds 32
Annuities 32
Treasury bonds 34
Accrued interest 38
Overseas markets 39
vii
viii Money and Capital Markets
Indexed bonds 40
Indexed annuities 43
4 Yield calculations for long term securities 45
Linear interpolation 46
Net present value and internal rate of return 48
Floating rate securities 50
Reinvestment assumptions and holding period analysis 55
Transaction costs 58
Effect of tax 59
Bond switch (swap) analysis 66
Book value switches 72
5 Interest rate risk analysis 74
Duration 75
Modified duration 80
Convexity 83
Spread or M2 of cashflows 85
Duration and convexity for portfolios 87
Managing interest rate risk 89
6 Forwards and futures 95
Spot and forward interest rates 96
Spot and forward exchange rates 103
Pricing forward contracts 107
The valuation of outstanding forward contracts 113
Futures contracts—relationship with forwards 115
The tail hedge 12°
Duration and convexity for futures contracts 12°
Forward rate agreements 129
7 Swaps I32
Bill swaps 132
Foreign exchange swaps 13'
Interest rate swaps 14"
Cross currency swaps 14^
8 Options 151
Introduction to options '^
Option payoffs 152
Asset price distributions
Option valuation
Binomial option pricing formula
Binomial model parameters
Black Scholes option pricing formula
Put option pricing
Contents ix
Other options to be allowed for in option valuation 178
Forward contracts and options 179
Convertible bonds and warrants 181
Guaranteed indexed notes 183
Exotic options 184
9 Interest rate derivatives 185
The binomial lattice 186
Parameters of the binomial interest rate model 194
Simulation 201
Exchange traded interest rate options 202
Bond options and swaptions 204
Caps and floors 205
Callable and puttable bonds (optional redemption dates) 206
Glossary of securities 207
Bibliography and further references 213
Index 215 |
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| isbn | 1864481595 |
| language | English |
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| physical | XIII, 217 S. graph. Darst. |
| publishDate | 1996 |
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| publisher | Allen & Unwin |
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| spelling | Sherris, Michael Verfasser aut Money and capital markets pricing, yields and analysis Michael Sherris 2. ed. St. Leonards Allen & Unwin 1996 XIII, 217 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Money market Securities Geldmarkt (DE-588)4019899-6 gnd rswk-swf Kapitalmarkt (DE-588)4029578-3 gnd rswk-swf Australien (DE-588)4003900-6 gnd rswk-swf Geldmarkt (DE-588)4019899-6 s DE-604 Australien (DE-588)4003900-6 g Kapitalmarkt (DE-588)4029578-3 s HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=007677527&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Sherris, Michael Money and capital markets pricing, yields and analysis Money market Securities Geldmarkt (DE-588)4019899-6 gnd Kapitalmarkt (DE-588)4029578-3 gnd |
| subject_GND | (DE-588)4019899-6 (DE-588)4029578-3 (DE-588)4003900-6 |
| title | Money and capital markets pricing, yields and analysis |
| title_auth | Money and capital markets pricing, yields and analysis |
| title_exact_search | Money and capital markets pricing, yields and analysis |
| title_full | Money and capital markets pricing, yields and analysis Michael Sherris |
| title_fullStr | Money and capital markets pricing, yields and analysis Michael Sherris |
| title_full_unstemmed | Money and capital markets pricing, yields and analysis Michael Sherris |
| title_short | Money and capital markets |
| title_sort | money and capital markets pricing yields and analysis |
| title_sub | pricing, yields and analysis |
| topic | Money market Securities Geldmarkt (DE-588)4019899-6 gnd Kapitalmarkt (DE-588)4029578-3 gnd |
| topic_facet | Money market Securities Geldmarkt Kapitalmarkt Australien |
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