Fixed income markets: instruments, applications, mathematics
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Singapore
Wiley
2004
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XIX, 898 S. graph. Darst. |
| ISBN: | 0470821361 |
Staff View
MARC
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Record in the Search Index
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|---|---|
| adam_text | Contents
Foreword ix
Preface xv
Acknowledgments xvii
About the Author xix
Part I Introduction to Bonds 1
Chapter 1 The bond instrument 3
Chapter 2 Bond instruments and interest rate risk 51
Chapter 3 Bond pricing, spot and forward rates 75
Chapter 4 Interest rate modelling 103
Chapter 5 Fitting the yield curve 125
Part II Selected Market Instruments 147
Chapter 6 The money markets 149
Chapter 7 Hybrid securities and structured securities 225
Chapter 8 Bonds with embedded options and
option adjusted spread analysis 253
Chapter 9 Inflation indexed bonds and derivatives 291
Chapter 10 Securitisation and mortgage backed securities 323
Chapter 11 Collateralised debt obligations 375
Chapter 12 Structured credit products 399
Part III Derivative Instruments 435
Chapter 13 Forwards and futures valuation 437
Chapter 14 Bond futures contracts 451
Chapter 15 Swaps 473
Chapter 16 The standardised interest rate swap contract:
Assessing the LIFFE swapnote® contract 535
vii
I
Chapter 17 Credit derivatives I: Instruments and applications 549
Chapter 18 Credit derivatives II: Pricing, valuation and the basis 595
Chapter 19 Options I 613
Chapter 20 Options II 647
Part IV Bond Trading and Hedging 663
Chapter 21 Value at risk and credit VaR 665
Chapter 22 Government bond analysis, the yield curve and
relative value trading 719
Chapter 23 Approaches to trading and hedging 771
Appendix
Appendix A Statistical concepts 801
Appendix B Basic tools 809
Appendix C Introduction to the mathematics of
fixed income pricing 817
Glossary 823
Index 869
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| illustrated | Illustrated |
| indexdate | 2024-07-09T20:05:20Z |
| institution | BVB |
| isbn | 0470821361 |
| language | English |
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| spelling | Choudhry, Moorad Verfasser aut Fixed income markets instruments, applications, mathematics Moorad Choudhry Singapore Wiley 2004 XIX, 898 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Fixed-income securities Festverzinsliches Wertpapier (DE-588)4121262-9 gnd rswk-swf Wertpapiermarkt (DE-588)4189708-0 gnd rswk-swf Festverzinsliches Wertpapier (DE-588)4121262-9 s Wertpapiermarkt (DE-588)4189708-0 s b DE-604 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=013079683&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Choudhry, Moorad Fixed income markets instruments, applications, mathematics Fixed-income securities Festverzinsliches Wertpapier (DE-588)4121262-9 gnd Wertpapiermarkt (DE-588)4189708-0 gnd |
| subject_GND | (DE-588)4121262-9 (DE-588)4189708-0 |
| title | Fixed income markets instruments, applications, mathematics |
| title_auth | Fixed income markets instruments, applications, mathematics |
| title_exact_search | Fixed income markets instruments, applications, mathematics |
| title_full | Fixed income markets instruments, applications, mathematics Moorad Choudhry |
| title_fullStr | Fixed income markets instruments, applications, mathematics Moorad Choudhry |
| title_full_unstemmed | Fixed income markets instruments, applications, mathematics Moorad Choudhry |
| title_short | Fixed income markets |
| title_sort | fixed income markets instruments applications mathematics |
| title_sub | instruments, applications, mathematics |
| topic | Fixed-income securities Festverzinsliches Wertpapier (DE-588)4121262-9 gnd Wertpapiermarkt (DE-588)4189708-0 gnd |
| topic_facet | Fixed-income securities Festverzinsliches Wertpapier Wertpapiermarkt |
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