Fixed-Income Securities: Valuation, Risk Management and Portfolio Strategies

1. Bonds and Money-Market Instruments.

2. Bond Prices and Yields.

Part II.  Term Structure of Interest Rates.

3. Empirical Properties and Classical Theories of the Term Structure.

4. Deriving the Zero-Coupon Yield Curve.

Part III.  Hedging Interest Rate Risk.

5. Hedging Interest-Rate Risk with Duration.

6. Beyond Duration.

Part IV.  Investment Strategies.

7. Passive Fixed-Income Portfolio Management.

8. Active Fixed-Income Portfolio Management.

9. Performance Measurement on Fixed-Income Portfolios.

Part V.  Swaps and Futures.

10. Swaps.

11. Forwards and Futures.

Part VI.  Modeling the Term Structure of Interest Rates and Credit Spreads.

12. Modeling the Yield Curve Dynamics.

13. Modeling the Credit Spreads Dynamics.

Part VII.  Plain Vanilla Options and More Exotic Derivatives.

14. Bonds with Embedded Options and Options on Bonds.

15. Options on Futures, Caps, Floors and Swaptions.

16. Exotic Options and Credit Derivatives.

Part VIII.  Securitization.

17. Mortgage-Backed Securities.

18. Asset-Backed Securities.

Subject Index.

Author Index.