{"product_id":"fixed-income-markets-9781118171721","title":"Fixed Income Markets","description":"\u003cb\u003eBook Synopsis\u003c\/b\u003e\u003cbr\u003eLooks at global debt capital markets in the post-crisis world. This book offers insights into derivative pricing, cross-currency hedging, and new liquidity legislation. It provides expanded coverage on a range of topics within hedging, derivatives, bonds, rebalancing, and global debt capital markets.\u003cbr\u003e\u003cbr\u003e\u003cb\u003eTable of Contents\u003c\/b\u003e\u003cbr\u003e\u003cp\u003eForeword xiii\u003c\/p\u003e \u003cp\u003ePreface xvii\u003c\/p\u003e \u003cp\u003eAbout the Authors xix\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart One Introduction to Bonds 1\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 1 The Bond Instrument 3\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 2 Bond Instruments and Interest-Rate Risk 43\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAppendix 2.1 Formal Derivation of Modified-Duration Measure 59\u003c\/p\u003e \u003cp\u003eAppendix 2.2 Measuring Convexity 59\u003c\/p\u003e \u003cp\u003eAppendix 2.3 Taylor Expansion of the Price\/Yield Function 61\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 3 Bond Pricing, Spot, and Forward Rates 65\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAppendix 3.1 The Integral 83\u003c\/p\u003e \u003cp\u003eAppendix 3.2 The Derivation of the Bond Price Equation in Continuous Time 85\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 4 Interest-Rate Modelling 89\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAppendix 4.1 Geometric Brownian Motion 101\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 5 Fitting the Yield Curve 105\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAppendix 5.1 Linear Regression: Ordinary Least Squares 124\u003c\/p\u003e \u003cp\u003eAppendix 5.2 Regression Splines 127\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart Two Selected Market Instruments 133\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 6 The Money Markets 135\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAppendix 6.1 179\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 7 Hybrid Securities and Structured Securities 181\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 8 Bonds with Embedded Options and Option-Adjusted Spread Analysis 205\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAppendix 8.1 Calculating Interest Rate Paths Using Microsoft Excel 232\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 9 Inflation-Indexed Bonds and Derivatives 235\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAppendix 9.1 Current Issuers of Public-Sector Indexed Securities 256\u003c\/p\u003e \u003cp\u003eAppendix 9.2 U.S. Treasury Inflation-Indexed Securities (TIPS) 257\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 10 Introduction to Securitisation and Asset-Backed Securities 261\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart Three Derivative Instruments 297\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 11 Forwards and Futures Valuation 299\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 12 Bond Futures Contracts 309\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAppendix 12.1 The Conversion Factor for the Long Gilt Future 324\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 13 Swaps 329\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAppendix 13.1 Calculating Futures Strip Rates and Implied Swap Rates 370\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 14 Credit Derivatives I: Instruments and Applications 375\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAppendix 14.1 Bond Credit Ratings 418\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 15 Credit Derivatives II: Pricing, Valuation, and the Basis 421\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 16 Options I 435\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAppendix 16.1 Summary of Basic Statistical Concepts 456\u003c\/p\u003e \u003cp\u003eAppendix 16.2 Lognormal Distribution of Returns 457\u003c\/p\u003e \u003cp\u003eAppendix 16.3 Black-Scholes Model in Microsoft Excel 458\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 17 Options II 461\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart Four Bond Trading and Hedging 475\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 18 Value-at-Risk and Credit VaR 477\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAppendix 18.1 Assumption of Normality 513\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 19 Government Bond Analysis, the Yield Curve, and Relative-Value Trading 517\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 20 Approaches to Trading and Hedging 551\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAppendix 20.1 Summary of Derivation of Optimum Hedge Equation 571\u003c\/p\u003e \u003cp\u003eAppendix 20.2 Forward-Rate Structure in Conventional Yield-Curve Environment 571\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 21 Derivatives Risk Management: Convexity, Collateral, and Correlation 573\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAppendix A Statistical Concepts 621\u003c\/p\u003e \u003cp\u003eAppendix B Basic Tools 627\u003c\/p\u003e \u003cp\u003eAppendix C Introduction to the Mathematics of Fixed-Income Pricing 633\u003c\/p\u003e \u003cp\u003eAppendix D About the Companion Website 639\u003c\/p\u003e \u003cp\u003eGlossary 641\u003c\/p\u003e \u003cp\u003eIndex 669\u003c\/p\u003e","brand":"John Wiley \u0026 Sons Inc","offers":[{"title":"Default Title","offer_id":49406838800727,"sku":"9781118171721","price":80.0,"currency_code":"GBP","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0817\/1739\/5799\/files\/9781118171721.jpg?v=1730497294","url":"https:\/\/bookcurl.com\/products\/fixed-income-markets-9781118171721","provider":"Book Curl","version":"1.0","type":"link"}