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- Product code: 10362
- ISBN: 075064012X,
ISBN13: 9780750640121,
220 pages, hardback
Published by Butterworth-Heinemann on 1998
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Description of Fixed Income and Interest Rate Derivative Analysis |
"Fixed Income and Interest Rate Derivative Analysis" gives a clear and accessible approach to the analytical techniques of debt instrument valuation. Without using complicated mathematical abstractions, this text shows that the fundamentals of fixed income and interest rate derivate analysis can be easily understood when seen as a small number of simple economic concepts. It gives a comprehensive and accessible explanation of underlying theory, and its practical application, using case studies and worked examples from around the world's capital markets. It shows how to use spreadsheet modelling in fixed income and interest rate derivative analysis. Concepts introduced in this book are reinforced and explained, not with the use of high-powered mathematics, but with actual examples of various market instruments and case studies from North America, Europe, Australia and Hong Kong. The text also contains review questions which aid the reader in their understanding. Mark Britten-Jones, BEcon, MA, PhD, is an Assistant Professor of Finance at the London Business School where he teaches Fixed Income Securities and Markets as part of a MBA and Master's course in Finance.
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Contents of Fixed Income and Interest Rate Derivative Analysis |
Part One - Fixed Cash Flows
1. Valuation of fixed cash flows with perfect replication
2. Imperfect replication: immunization and duration
Part Two - Simple Random Cash Flows
3. Forward rates, T-Bills futures, and quasi-arbitrage
4. The Eurodollar market and simple interest rate swaps
Part Three - General Rate-Sensitive Cash Flows
5. No-arbitrage and risk neutral pricing
6. State prices, forward induction, and tree-fitting
7. The Black - Derman - Toy Model
8. Convexity
9. Callable and convertible bonds
10. Credit risk
11. Continuous-time finance
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