Bonds and bond derivatives:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Malden, Mass. u.a.
Blackwell
1999
|
| Ausgabe: | 1. publ. |
| Schriftenreihe: | Blackwell Business
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XI, 262 S. graph. Darst |
| ISBN: | 0631207554 |
Internformat
MARC
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Datensatz im Suchindex
| _version_ | 1804127890486329344 |
|---|---|
| adam_text | ———^—— Contents
Preface x
Acknowledgments xii
Introduction 1
The Growth of Debt 1
The Variability of Interest Rates 2
New Varieties of Debt 5
Plan of the Book 6
1 Determinants of the Level of Interest Rates 7
Federal Reserve 7
Foreign Central Banks 9
Loanable Funds Approach 9
Inflation and Interest Rates 13
Summary 16
Questions and Problems 16
2 Issuers 17
The US Treasury 17
Index Linked Bonds 23
Municipalities 25
Corporations 26
Government Agencies 27
Mortgages 2.8
Summary 28
Questions and Problems 29
3 Financial Intermediaries 30
Initial Sale of Securities (Primary Market) 30
vi CONTENTS
Dealers and Brokers (Secondary Market) 35
Mutual Funds 41
Insurance Companies 43
Pension Funds 45
Commercial Banks and Thrifts 47
Comparing Types of Debt Financing 48
Summary 49
Questions and Problems 50
4 Time Values 51
A Time Line 51
Future Value 52
Present Value 52
Price of a Bond 54
Bond Yield to Maturity 55
Other Yield Measures 56
. Perpetual Bonds 58
Holding Period Returns 59
Semiannual Interest 62
Accrued Interest 63
Newspaper Quotes 64
Summary 64
Questions and Problems 70
5 Money Market Instruments and Rates 72
Money Market Instruments 73
Money Market Rates 81
Summary 88
Questions and Problems 88
6 The Risk of Changing Interest Rates 89
Duration 89
Immunization at a Horizon Date 95
Immunizing Assets and Liabilities 99
Summary 99
Questions and Problems 100
Appendix 100
7 Time Value with Nonflat Term Structure 105
Spot Interest Rates 105
Present Value or Spot Prices 108
Treasury Strips 109
Forward Interest Rates 111
CONTENTS vii
Shape of the Term Structure 115
Annuities 116
Prices of Coupon Bearing Bonds 117
Yield to Maturity and Spot Rates 118
Summary 119
Questions and Problems 119
8 Arbitrage 121
Shortselling 121
Conditions for Arbitrage 123
Arbitrage and Present Values 123
Arbitrage and Bond Coupons 125
An Example of a Replicating Portfolio 125
Creating Forward Contracts from Spot Securities 128
Arbitrage and Forward Interest Rates 130
Summary 131
Questions and Problems 132
9 Term Structure of Interest Rates 133
Historical Patterns in Yield Curves 133
Segmented Markets Theory 135
Increasing Liquidity Premiums 136
Preferred Habitat 137
Money Substitute 137
Expectations Hypothesis 138
Combined Theory 142
Humpbacked Curves 143
Holding Period Returns 143
Summary 145
Questions and Problems 146
10 Default Risk 148
Default on Municipal Bonds 148
Default on Mortgages 149
Corporate Bonds 149
Bonds Ratings 1 53
High Yield (Junk) Bonds 156
Summary 157
Questions and Problems 157
11 Put and Call Options 159
Call Options 159
Put Options 1^5
viii CONTENTS
Put Call Parity 168
Determinants of the Value of a Call Option 170
Embedded Options 173
Summary 175
Questions and Problems 176
12 Mortgages 178
Mortgage Mathematics 179
Variable Rate Mortgages 182
Assumable Mortgages 182
The Prepayment Option 183
Marketable Mortgages 186
Default and Mortgage Guarantees 188
Derivative Mortgage Products 190
Summary 194
Questions and Problems 195
13 Futures Contracts 197
Open Interest 199
Margin and Marking to Market 200
Forward versus Futures Contracts 202
Determinants of Futures Prices 203
Speculative Futures Positions 210
Hedging with Futures Contracts 211
Summary 214
Questions and Problems 215
14 Bond Futures 217
Treasury Bond Futures 217
Hedging with Financial Futures 221
Cheapest Deliverable Bond 223
Other Aspects of the Delivery Process 227
Summary 228
Questions and Problems 229
15 Other Derivatives 231
Floating Rate Notes 231
Interest Rate Swaps 233
Convertible Bonds 236
LYONs 239
Preferred Stock 239
Summary 239
Questions and Problems 240
CONTENTS ix
16 Exchange Rates and International Investments 241
International Investment 241
Exchange Rates 242
Impact of Changing Exchange Rates on
Imports and Exports 243
Exchange Rates and Investment Returns 243
Inflation, Interest Rates, and Exchange Rates 245
Spot and Forward Exchange Rates 246
Covered Interest Arbitrage 247
Time Series Properties of Exchange Rates 248
International Bond Markets 249
Summary 249
Questions and Problems 250
Select Bibliography 252
Index 254
|
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| callnumber-subject | HG - Finance |
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| ctrlnum | (OCoLC)39050959 (DE-599)BVBBV013188038 |
| dewey-full | 332.63/23 332.63/2321 |
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| dewey-ones | 332 - Financial economics |
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| dewey-search | 332.63/23 332.63/23 21 |
| dewey-sort | 3332.63 223 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| edition | 1. publ. |
| format | Book |
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| illustrated | Illustrated |
| indexdate | 2024-07-09T18:40:32Z |
| institution | BVB |
| isbn | 0631207554 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-008986779 |
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| physical | XI, 262 S. graph. Darst |
| publishDate | 1999 |
| publishDateSearch | 1999 |
| publishDateSort | 1999 |
| publisher | Blackwell |
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| spelling | Livingston, Miles Verfasser aut Bonds and bond derivatives Miles Livingston 1. publ. Malden, Mass. u.a. Blackwell 1999 XI, 262 S. graph. Darst txt rdacontent n rdamedia nc rdacarrier Blackwell Business Futures gtt Obligaties gtt Portfolio-analyse gtt Bonds Bond market Financial futures Government securities Portfolio management Wertpapiermarkt (DE-588)4189708-0 gnd rswk-swf Derivat Wertpapier (DE-588)4381572-8 gnd rswk-swf Wertpapiermarkt (DE-588)4189708-0 s DE-188 Derivat Wertpapier (DE-588)4381572-8 s HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=008986779&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Livingston, Miles Bonds and bond derivatives Futures gtt Obligaties gtt Portfolio-analyse gtt Bonds Bond market Financial futures Government securities Portfolio management Wertpapiermarkt (DE-588)4189708-0 gnd Derivat Wertpapier (DE-588)4381572-8 gnd |
| subject_GND | (DE-588)4189708-0 (DE-588)4381572-8 |
| title | Bonds and bond derivatives |
| title_auth | Bonds and bond derivatives |
| title_exact_search | Bonds and bond derivatives |
| title_full | Bonds and bond derivatives Miles Livingston |
| title_fullStr | Bonds and bond derivatives Miles Livingston |
| title_full_unstemmed | Bonds and bond derivatives Miles Livingston |
| title_short | Bonds and bond derivatives |
| title_sort | bonds and bond derivatives |
| topic | Futures gtt Obligaties gtt Portfolio-analyse gtt Bonds Bond market Financial futures Government securities Portfolio management Wertpapiermarkt (DE-588)4189708-0 gnd Derivat Wertpapier (DE-588)4381572-8 gnd |
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