GARP Digital Library

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Book/Article Detail


 
Reading Title:
Reading Author(s):
 
 
Book Title:
Book Author(s):
Chapter:
3
Page Range:
47-66
Total Pages:
20
 
 
Publisher:
Publication Year:
2005
Language:
English
 
 
 
 
FRM Paid Candidate Price:         US$3.00
Reading Price:
GARP Member (Non-Affiliate):   US$3.00
 
Affiliate & Non-Member:             US$3.50
 
* Order print copy for an additional US$2.00 + shipping & handling (select at checkout)
 
 
 
To purchase all chapters from this book currently available from GDL, click here.
 
 
Quantitative Level:
Basic
 
 
Keywords:
 
 
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
 
 
Reading Contents:
3.1 Zero-Coupon Bonds
3.2 Coupon Bonds
3.3 Bond Price in Continuous Time
3.3.1 Fundamental Concepts
3.3.2 Stochastic Rates
3.3.3 Coupon Bonds
3.4 Forward Rates
3.4.1 Guaranteeing a Forward Rate
3.4.2 The Spot and Forward Yield Curve
3.4.3 Calculating Spot Rates
3.5 Term Structure Hypotheses
3.5.1 The Expectations Hypothesis
3.5.2 Liquidity Premium Hypothesis
3.5.3 Segmented Markets Hypothesis
 
 
 
 
Book Review:
** From the Publisher **

An array of techniques and applications are used in the analysis and valuation of the principal debt market instruments. The basic analytical techniques are applicable in all bond markets, but as the instruments being valued become more complex, additional techniques are required. In order to succeed, today’s financial practitioners need to be up to speed on how these derivative products and their underlying securities are structured and valued.

In Fixed-Income Securities and Derivatives Handbook, Moorad Choudhry provides a concise and accessible overview of the main elements of the markets, the techniques used, and their applications. Covering a wide range of market instruments, the book examines simple and complex products and the mathematics behind them.

Analyzing cash and derivative products, Choudhry provides insight into market conventions with case studies demonstrating how the markets really work. The book features an introduction to yield-curve models, curve-fitting techniques, option-adjusted spreads, index-linked bond analytics, and a range of other applications in the fixed-income markets. Choudhry’s unique focus on the international nature of these instruments makes the techniques and applications appropriate to every debt capital market.

Whether new to the field or simply in need of a refresher on recent developments, the practitioner will find Fixed-Income Securities and Derivatives Handbook a resource to have close by.
 



 
   
GARP Digital Library