GARP Digital Library

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Books/Articles By


  Author:  Choudhry, Moorad

 
 

Chapter 1

Reading Title:
Reading Author(s):
Book Title:
Book Author(s):
Chapter:
1
Publisher:
Reading Price:
GARP Member (Non-Affiliate):   US$6.00
 
Affiliate & Non-Member:            US$$6.50

Summary:

While the bulk of this book explores the credit default swap basis and basis trading, this introductory chapter lays the foundation by reviewing credit default swap products, including the mechanics and terms of the products as well as pricing methods. The chapter is easy to read with well-explained examples ... click here for more details.





Chapter 99

Reading Title:
Reading Author(s):
Book Title:
Book Author(s):
Chapter:
99
Publisher:
Reading Price:
GARP Member (Non-Affiliate):   US$6.00
 
Affiliate & Non-Member:            US$$6.50

Summary:

Appendix I describes the CDSW Screen on the Bloomberg Professional terminal. This screen is an implementation of the credit default swap (CDS) pricing method developed by Hull and White. Appendix II provides more technical detail on the market approach to CDS pricing and illustrates the method with an ... click here for more details.





Chapter 17

Reading Title:
Reading Author(s):
Book Title:
Book Author(s):
Chapter:
17
Publisher:
Reading Price:
GARP Member (Non-Affiliate):   US$3.00
 
Affiliate & Non-Member:            US$$3.50

Topics Covered:

Relative value trading, speculative trading, spread trading, technical analysis/charting, Chicago Mercantile Exchange (CME), forward rate agreement (FRA), futurestrading, basis spread, butterfly spread, yield curves, coupon yield spreads, heding bond positions, low- and high-coupon yield spreads




Chapter 2

Reading Title:
Reading Author(s):
Book Title:
Book Author(s):
Chapter:
2
Publisher:
Reading Price:
GARP Member (Non-Affiliate):   US$3.00
 
Affiliate & Non-Member:            US$$3.50

Topics Covered:

Duration, modified duration, current yield, running yield, Macaulay duration, annuity bonds, properties of duration, basis points, basis point value (BPV), hedge ratio, beta, convexity




Chapter 3

Reading Title:
Reading Author(s):
Book Title:
Book Author(s):
Chapter:
3
Publisher:
Reading Price:
GARP Member (Non-Affiliate):   US$3.00
 
Affiliate & Non-Member:            US$$3.50

Topics Covered:

Zero-coupon bonds, coupon bonds, spot interest rates, continuously compounded rates, term structure of interest rates, martingale process, risk-neutral price, stochastic rates, forward interest rates, forward yield curve, term structure hypotheses, expectations hypothesis, liquidity premium hypothesis, segmented markets hypothesis, preferred habitat theory




Chapter 2

Reading Title:
Reading Author(s):
Book Title:
Book Author(s):
Chapter:
2
Publisher:
Reading Price:
GARP Member (Non-Affiliate):   US$6.00
 
Affiliate & Non-Member:            US$$6.50

Summary:

The credit default swap (CDS) basis is an important measure of relative value in the credit markets. Before considering the basis itself, we must familiarize ourselves with some basic concepts of bond spreads. An understanding of these is important when we consider the CDS basis later. In this chapter, we ... click here for more details.





Chapter 15

Reading Title:
Reading Author(s):
Book Title:
Book Author(s):
Chapter:
15
Publisher:
Reading Price:
GARP Member (Non-Affiliate):   US$3.00
 
Affiliate & Non-Member:            US$$3.50

Topics Covered:

Collateralized debt obligations (CDOs), arbitrage CDOs, balance sheet CDOs, CDO structures, conventional structures, synthetic CDO structures, CDO analysis and evaluation, CDO cash flow, originatorís credit quality, credit enhancements, legal structure, expected loss




Chapter 5

Reading Title:
Reading Author(s):
Book Title:
Book Author(s):
Chapter:
5
Publisher:
Reading Price:
GARP Member (Non-Affiliate):   US$3.00
 
Affiliate & Non-Member:            US$$3.50

Topics Covered:

Fitting the yield curve, splines, ordinary least squares (OLS), bootstrapping, error, noise, smoothing, linear interpolation, cubic polynomials, non-parametric methods, piecewise cubic polynomial, spline-based methods, non-parametric methods, B-splines, Nelson and Siegel curves, Svensson model




Chapter 6

Reading Title:
Reading Author(s):
Book Title:
Book Author(s):
Chapter:
6
Publisher:
Reading Price:
GARP Member (Non-Affiliate):   US$3.00
 
Affiliate & Non-Member:            US$$3.50

Topics Covered:

Bond forwards and futures, cash flow of forwards, doji, margining, relationship between prices of futures and forwards, forward-spot parity, basis, implied repo rate, backwardation, contango, gross basis, hedging, basis risk, cheapest to deliver




Chapter 13

Reading Title:
Reading Author(s):
Book Title:
Book Author(s):
Chapter:
13
Publisher:
Reading Price:
GARP Member (Non-Affiliate):   US$3.00
 
Affiliate & Non-Member:            US$$3.50

Topics Covered:

Hybrid securities, structured notes, swaps, floating-rate notes, inverse floating-rate notes, variable-rate notes, floors, caps, calls, hedging inverse floaters, indexed amortizing notes (IANs), swaptions, synthetic convertible notes, interest differential notes (IDNs)



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GARP Digital Library