Mark Britten-Jones

Fixed Income and Interest Rate Derivative Analysis

• Gebundenes Buch

Produktbeschreibung

Fixed Income and Interest Rate Derivative Analysis gives a clear and accessible approach to the analytical techniques of debt instrument valuation. Without using complicated mathematical abstractions, this text shows that the fundamentals of fixed income and interest rate derivate analysis can be easily understood when seen as a small number of simple economic concepts. Concepts inroduced in this book are reinforced and explained, not with the use of high-powered mathematics, but with actual examples of various market instruments and case studies from North America, Europe, Australia and Hong Kong. The text also contains review questions which aid the reader in their understanding. Mark Britten-Jones, BEcon, MA, PhD, is an Assistant Professor of Finance at the London Business School where he teaches Fixed Income Securities and Markets as part of a MBA and Master's course in Finance.

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Produktdetails

• Verlag: Elsevier Science
• Seitenzahl: 220
• Erscheinungstermin: 9. November 1998
• Englisch
• Abmessung: 253mm x 194mm x 15mm
• Gewicht: 544g
• ISBN-13: 9780750640121
• ISBN-10: 075064012X
• Artikelnr.: 21498279

Inhaltsangabe

Fixed cash flows
Valuation of fixed cash flows with perfect replicationImperfect replication: immunization and durationSimple random cash flows
Forward rates, T
bill futures, and quasi
arbitrageThe eurodollar market and simple interest rate swapsGeneral rate
sensitive cash flows
No
arbitrage and risk
neutral pricingState prices, forward induction, and tree
fittingThe Black
Derman
Toy Model; ConvexityCallable and convertible bondsCredit riskContinuous
time finance