Fixed income markets: management, trading, hedging
Saved in:
| Main Authors: | , , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Singapore
Wiley
2014
|
| Edition: | 2. ed. |
| Series: | The wiley finance series
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XIX, 684 S. graph. Darst. |
| ISBN: | 9781118171721 |
Staff View
MARC
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Record in the Search Index
| _version_ | 1804153059161407488 |
|---|---|
| adam_text | Contents
Foreword
Preface
xv»
About
tne
Authors
PARTO«
Introduction to Bonds
1
CHAPTER
1
The Bond Instrument
3
СНАРТИ2
Bond Instruments and Interest-Rate Risk
43
Appendix
2.1
Formal Derivation of Modffied-Duration Measure
59
Appendix
2.2
Measuring Convexity
59
Appendix
2.3
Taylor Expansion of
tne
Price/Yield Function
61
СНАРТИЗ
Bond Pricing, Spot and Forward Rates
65
Appendix
3.1
The Integral
83
Appendix
3.2
Tne
Dérivation
of the Bond Price Equation in Continuous lime
85
СНАРТШ4
mterest-jlate Modettng
89
Appomfx
4.1
Geometric Brownian Motion
101
СНЛРТИ5
Fitting
tne
ΥΙβΜ
Curve
105
Appendix
5.1
Unear Regression: Ordinary Least Squares
124
Appendix
5.2
Regression SpNnes
127
PARÏTW0
Selected Market instruments 133
СНАРТНб
The Money Markets
135
Аррешйхвл
179
CONTENTS
CHAPTttľ
Hybrid
Securities and Structured Securities
181
CHAPTBte
Bonds with Embedded Options and Option-Adjusted Spread Analysis
205
Appendix
8.1
Calculating Interest Rate Paths Using Microsoft Excel
232
CHAPTBîe
Inflation-Indexed Bonds and Derivatives
235
Appendix
9.1
Current Issuers of Public-Sector Indexed Securities
256
Appendix
9.2
U.S. Treasury Inflation-Indexed Securities (TIPS)
257
CHAPTHIO
Introduction to Securitisatton and Asset-Backed Securities
261
і.
.-
O t
PART
TURE
Derivative
Instruments
297
CNAPTHt
11
Forwards and Futures Valuation
299
CHAPTERS
Bond Futures Contracts
309
Appendix
12.1
The Conversion Factor for the Long Gilt Future
324
CHAPTER
13
Swaps
329
Appendix
13.1
Calculating Futures Strip Rates and Implied Swap Rates
370
СНАРТВИ4
CredR Derivatives I: Instruments and Applications
875
Appendix
14.1
Bond Credit Ratings
418
СНАРТВМб
Сре*оепуаШеѕ1:(>ртапд,
Valuation, and the Basis
421
СНАРТВМб
Options
I
435
Appendix
16.1
Summary of Basic Statistical Concepts
456
Append» 1B.2
Lognormał
Distribution of Returns
457
Appendix
18.3
Bteck-Schotes
Model
m
Mfcrosoft
Excel
458
BUFIS1
17
Options!
461
Contents
__________________________________________________________________________Xl
PART
FOUR
...........
№.
._.,,,„_.,,. ........ ... ....... ..... ,..,....
Bond leading and Hedging
475
СНАРТБШ
Value
-аШѕк
and Graft VaR
477
Appendix
18.1
Assumption of Normality
513
CHAPTER
19
Government Bond Analysis, the
Vtekl
Curvo,
and Relative-Value Tradhrn
517
снАРтгаго
Approaches to Tracing and Hedging
551
Appendx
20.1
Summary of Derivation of Optimum Hedge Equation
571
Appendx
20.2
Forward-Rate Structure In Conventional Yield-Curve
Environment
571
СНАРТВШ
Derivatives
Msk
Management: Convexity,
Colateral,
and Correlation
573
APPENDIX A
Statistical Concepts
621
АРРВШХВ
Basic Tools
627
APPENDIX
С
Introduction to
tne
Mathematics of HxetHncome Pricing
APPB4DJXD
About
tne
Companion Website
Glossary
841
Мех
688
|
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| dewey-sort | 3332.6 532044 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| edition | 2. ed. |
| format | Book |
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| id | DE-604.BV042402942 |
| illustrated | Illustrated |
| indexdate | 2024-07-10T01:20:35Z |
| institution | BVB |
| isbn | 9781118171721 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-027838590 |
| oclc_num | 894745811 |
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| owner | DE-355 DE-BY-UBR |
| owner_facet | DE-355 DE-BY-UBR |
| physical | XIX, 684 S. graph. Darst. |
| publishDate | 2014 |
| publishDateSearch | 2014 |
| publishDateSort | 2014 |
| publisher | Wiley |
| record_format | marc |
| series2 | The wiley finance series |
| spelling | Choudhry, Moorad Verfasser aut Fixed income markets management, trading, hedging Moorad Choudhry ; David Moskovic ; Max Wong 2. ed. Singapore Wiley 2014 XIX, 684 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier The wiley finance series Fixed-income securities Wertpapiermarkt (DE-588)4189708-0 gnd rswk-swf Festverzinsliches Wertpapier (DE-588)4121262-9 gnd rswk-swf Festverzinsliches Wertpapier (DE-588)4121262-9 s Wertpapiermarkt (DE-588)4189708-0 s b DE-604 Moskovic, David Verfasser aut Wong, Max Verfasser aut Erscheint auch als Online-Ausgabe 978-1-118-17174-5 Erscheint auch als Online-Ausgabe 978-1-118-17175-2 Digitalisierung UB Regensburg - ADAM Catalogue Enrichment application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=027838590&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Choudhry, Moorad Moskovic, David Wong, Max Fixed income markets management, trading, hedging Fixed-income securities Wertpapiermarkt (DE-588)4189708-0 gnd Festverzinsliches Wertpapier (DE-588)4121262-9 gnd |
| subject_GND | (DE-588)4189708-0 (DE-588)4121262-9 |
| title | Fixed income markets management, trading, hedging |
| title_auth | Fixed income markets management, trading, hedging |
| title_exact_search | Fixed income markets management, trading, hedging |
| title_full | Fixed income markets management, trading, hedging Moorad Choudhry ; David Moskovic ; Max Wong |
| title_fullStr | Fixed income markets management, trading, hedging Moorad Choudhry ; David Moskovic ; Max Wong |
| title_full_unstemmed | Fixed income markets management, trading, hedging Moorad Choudhry ; David Moskovic ; Max Wong |
| title_short | Fixed income markets |
| title_sort | fixed income markets management trading hedging |
| title_sub | management, trading, hedging |
| topic | Fixed-income securities Wertpapiermarkt (DE-588)4189708-0 gnd Festverzinsliches Wertpapier (DE-588)4121262-9 gnd |
| topic_facet | Fixed-income securities Wertpapiermarkt Festverzinsliches Wertpapier |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=027838590&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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