Valuation of Fixed Income Securities and Derivatives,9781883249250

Valuation of Fixed Income Securities and Derivatives

by
Edition: 3rd
ISBN13: 9781883249250
ISBN10: 1883249252
Format: Hardcover
Pub. Date: 1998-01-15
Publisher(s): Wiley
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Summary

The authoritative resource for understanding and practicing valuation of both common fixed income investment vehicles and complex derivative instruments-now updated to cover valuing interest rate caps and floors.

Author Biography

Frank J. Fabozzi is a financial consultant, the editor of the Journal of Portfolio Management, and an Adjunct Professor of Finance at Yale University's School of Management.

Table of Contents

Preface iv(1)
Index of Advertisers v
1. Fundamental Valuation Principles
1(16)
2. Spot Rates and Their Role in Valuation
17(26)
3. Forward Rates and Term Structure Theories
43(22)
4. Measuring Price Sensitivity to Interest Rate Changes
65(14)
5. Overview of the Valuation of Bonds with Embedded Options
79(12)
6. Binomial Model I: Valuing Callable Bonds
91(24)
7. Binomial Model II: Valuing Other Bond Structures
115(14)
8. Monte Carlo Model for Valuing Mortgage-Backed Securities
129(26)
9. Valuation of Asset-Backed Securities
155(14)
10. Valuation of Inverse Floaters
169(14)
11. Valuation of Convertible Securities
183(14)
12. Valuation of Interest Rate Futures Contracts
197(26)
13. Valuation of Options on Fixed Income Instruments and Interest Rate Futures
223(16)
14. Valuation of Interest Rate Swaps
239(14)
15. Valuation of Interest Rate Caps and Floors
253(10)
16. Estimating Yield Volatility
263(12)
Index 275

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