Description
Book SynopsisTable of ContentsPreface ix
List of Acronyms xi
Chapter 0 Overview 1
Chapter 1 Prices, Discount Factors, and Arbitrage 49
Chapter 2 Swap, Spot, and Forward Rates 65
Chapter 3 Returns, Yields, Spreads, and P&L Attribution 79
Chapter 4 DV01, Duration, and Convexity 103
Chapter 5 Key-Rate, Partial, and Forward-Bucket ’01s and Durations 135
Chapter 6 Regression Hedging and Principal Component Analysis 153
Chapter 7 Arbitrage Pricing with Term Structure Models 177
Chapter 8 Expectations, Risk Premium, Convexity, and the Shape of the Term Structure 197
Chapter 9 The Vasicek and Gauss+ Models 205
Chapter 10 Repurchase Agreements and Financing 223
Chapter 11 Note and Bond Futures 249
Chapter 12 Short-Term Rates and Their Derivatives 289
Chapter 13 Interest Rate Swaps 319
Chapter 14 Corporate Debt and Credit Default Swaps 347
Chapter 15 Mortgages and Mortgage-Backed Securities 395
Chapter 16 Fixed Income Options 433
Appendix to Chapter 1 Prices, Discount Factors, and Arbitrage 453
Appendix to Chapter 2 Swap, Spot, and Forward Rates 457
Appendix to Chapter 3 Returns, Yields, Spreads, and P&L Attribution 463
Appendix to Chapter 4 DV01, Duration, and Convexity 467
Appendix to Chapter 6 Regression Hedging and Principal Component Analysis 469
Appendix to Chapter 8 Expectations, Risk Premium, Convexity and the Shape of the Term Structure 477
Appendix to Chapter 9 The Vasicek and Gauss+ Models 479
Appendix to Chapter 11 Note and Bond Futures 491
Appendix to Chapter 12 Short-Term Rates and Their Derivatives 497
Appendix to Chapter 13 Interest Rate Swaps 501
Appendix to Chapter 14 Corporate Debt and Credit Default Swaps 505
Appendix to Chapter 15 Mortgages and Mortgage-Backed Securities 509
Appendix to Chapter 16 Fixed Income Options 513
About the Website 527
Index 529
