Fixed income securities : valuation, risk, and risk management
- New Jersey John Wiley & Sons 2010
- xxxiii,805p. 26cm, Hard
Rs. 8,444/-
1. An introduction to fixed income markets 2. Basics of fixed income securities 3. Basics of interest rate risk management 4. Basic refinements in interest rate risk management 5. Interest rate derivatives: forwards and swaps 6. Interest rate derivatives: futures and options 7. Inflation, monetary policy, and the federal funds rate 8. Basics of residential mortgage backed securities 9. One step binomial trees 10. Multi-step binomial trees 11. Risk neutral trees and derivative pricing 12. American options 13. Monte Carlo simulation on trees 14. Interest rate models in continuous time 15. No arbitrage and the pricing of interest rate securities 16. Dynamic hedging and relative value trades 17. Risk neutral pricing and Monte Carlo simulations 18. The risk and return of interest rate securities 19. No arbitrage models and standard derivatives 20. The market model for standard derivatives 21. Forward risk neutral pricing and the Labor market model 22. Multi factor models.
Providing a description of the forces that affect the valuation, risk and return of fixed income securities, this text outlines the importance of parameter data and the role of financial models
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Fixed - income securities Risk management United States