Publishers
Chapter 1
Reading Title:
Reading Author(s):
Book Title:
Book Author(s):
Choudhry, Moorad
Chapter:
1
Publisher:
Reading
Price:
GARP
Member (Non-Affiliate):
US$3.00
Affiliate & Non-Member:
US$3.50
Topics Covered: Time value of money, fixed-income instruments, bond definitions and terminology, present value, discounting, future value, discount factors, bond pricing and yield, strips, current yield, yield to maturity, accrued interest, clean and dirty bond prices, day-count conventions
Chapter 2
Reading Title:
Reading Author(s):
Book Title:
Book Author(s):
Choudhry, Moorad
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):
Choudhry, Moorad
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 4
Reading Title:
Reading Author(s):
Book Title:
Book Author(s):
Choudhry, Moorad
Chapter:
4
Publisher:
Reading
Price:
GARP
Member (Non-Affiliate):
US$3.00
Affiliate & Non-Member:
US$3.50
Topics Covered: Term structure modeling, short-rate processes, geometric Brownian motion, Weiner process, Ito’s lemma, one-factor term-structure models, Vasicek model, Hull -White model, Cox-Ingersoll-Ross (CIR) model, two-factor term-structure models, Brennan-Schwartz model, Heath-Jarrow-Morton (HJM) model, mean reversion, time-dependent drift, arbitrage models, equilibrium interest rate models
Chapter 5
Reading Title:
Reading Author(s):
Book Title:
Book Author(s):
Choudhry, Moorad
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):
Choudhry, Moorad
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 7
Reading Title:
Reading Author(s):
Book Title:
Book Author(s):
Choudhry, Moorad
Chapter:
7
Publisher:
Reading
Price:
GARP
Member (Non-Affiliate):
US$3.00
Affiliate & Non-Member:
US$3.50
Topics Covered: Swaps, interest rate swaps, swap spreads and swap yield curves, intuitive swap valuation, zero-coupon swap valuation, calculating forward rate from spot rate discount factors, bootstrapping, key principles of interest rate swap, non-plain vanilla interest rate swaps, basis risk, basis swap, extendable swaps, forward start swap, margin swap, off-market swap, putable swaps, forward-start, accreting (step-up) swap, amortizing swap, constant maturity swap (CMS), constant maturity Treasury (CMT) swap, differential swap, LIBOR-in-arrears (back-set) swap, roller coasters, swaptions, call swaption, put swaption, dollar value of a basis point (DVBP), present value of a basis point (PVBP), hedging using interest rate swaps
Chapter 8
Reading Title:
Reading Author(s):
Book Title:
Book Author(s):
Choudhry, Moorad
Chapter:
8
Publisher:
Reading
Price:
GARP
Member (Non-Affiliate):
US$3.00
Affiliate & Non-Member:
US$3.50
Topics Covered: Options, commodity options vs. financial options, option payoff profiles, option terminology, intrinsic value, time value, option pricing, volatility, Black-Scholes option model, implied volatility, martingale process, Weiner process, Black-Scholes bond pricing model, put-call parity, Black model, option pricing models
Chapter 9
Reading Title:
Reading Author(s):
Book Title:
Book Author(s):
Choudhry, Moorad
Chapter:
9
Publisher:
Reading
Price:
GARP
Member (Non-Affiliate):
US$3.00
Affiliate & Non-Member:
US$3.50
Topics Covered: Option pricing, time value, American options, Greeks, delta, delta hedging, delta neutral, dynamic hedging, gamma, theta, vega, rho, lambda, option smile, volatility smile, caps and floors, caplets, collar, floorlets, zero-cost collars, Black model
Chapter 11
Reading Title:
Reading Author(s):
Book Title:
Book Author(s):
Choudhry, Moorad
Chapter:
11
Publisher:
Reading
Price:
GARP
Member (Non-Affiliate):
US$3.00
Affiliate & Non-Member:
US$3.50
Topics Covered: Embedded options, option-adjusted spread analysis, option valuation, call provision, binomial tree of short-term interest rates, arbitrage-free pricing, option pricing, risk-neutral pricing, recombining and nonrecombining trees, callable bond pricing, price-yield relationships, price volatility, effective duration and convexity, sinking funds
