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Description of Fixed Income Analysis: Money Market, Foreign Exchange, and Derivative Securities

Global fixed-income markets, both securities and their derivatives, have registered phenomenal growth over the past two decades, yet many instruments and strategies are often misunderstood and, as a result, mishandled for the purposes of effective risk management.

This comprehensive new book explains and clarifies the essential building blocks underlying the pricing and risk analysis of fixed-income securities and derivatives - using mathematics lightly, to make things easier, not harder. The emphasis throughout is on how-to-do, on building operational knowledge from the ground up. There are more then 300 examples and exhibits based on current market data.

The international dimension is also an integral part of the analysis. A true global financial village has emerged, heavily dependent for its operations on real-time international telecommunications networks. The focus of this book is on instruments which can be freely traded internationally, generally without trols, taxes, or other restrictions. You will find essential information on:

- The global money market
- Foreign exchange transactions and foreign exchange derivatives
- Bonds and zero coupon bonds - including a risk management-driven discussion of duration and convexity
- Interest rate swaps, currency swaps, and exchange-traded futures
- Stochastic models and option pricing
- Stochastic models of the yield curve

Written for a wide range of finance professionals and packed with a wealth of exhibits, this is the ideal resource for anyone seeking a firmer grasp of this important topic.

Title Information

ISBN:

9780471246534

Pages:

288 pages

Format:

Hardback

Product Code:

9379

Publisher:

John Wiley & Sons Ltd

Published:

29/07/1999

Edition:

1st Edition

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Contents of Fixed Income Analysis: Money Market, Foreign Exchange, and Derivative Securities

1. Background and Terminology Quotations

2. Interest, Discount, and Compounded Yield

3. The Exponential Notation

4. Spot and Forward Yields

5. Foreign-Exchange Transactions

6. Zero-Coupon Bonds

7. Fixed-Interest Coupon Bonds

8. Coupon Bonds: Advanced Topics

9. Floating-Rate Securities

10. Interest-Rate and Currency Swaps

11. Futures on Bonds and Notes

12. An Introduction to Options

13. Fixed-income Options, Bonds with Optionlike Features

14. Basic Statistical Tools

15. Stochastic Models

16. Binomial Option Pricing: An Introduction

17. Extending the Binomial Model

18. The Black-Scholes and Other Option-pricing Models

19. Modeling the Yield Curve

Index