Fixed Income and Interest Rate Derivative Analysis

Mark Britten Jones

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.
  • Limba : Engleza
  • Cuprins : Preface; Acknowledgements; Fixed cash flows - Valuation of fixed cash flows with perfect replication; Imperfect replication: immunization and duration; Simple random cash flows - Forward rates, T-bill futures, and quasi-arbitrage; The eurodollar market and simple interest rate swaps; General rate-sensitive cash flows - No-arbitrage and risk-neutral pricing; State prices, forward induction, and tree-fitting; The Black-Derman-Toy Model; Convexity; Callable and convertible bonds; Credit risk; Continuous-time finance; Index.
  • Data Publicarii : 15 Oct 1998
  • Format : Hardback
  • Numar pagini : 220
  • ISBN : 9780750640121
Rating:
436.99 Lei
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