Fixed Income Securities: Tools for Today's Markets, 3rd Edition, University Edition

Acknowledgments xiii

An Overview of Global Fixed Income Markets 1

PART ONE The Relative Pricing of Securities with Fixed Cash Flows 47

CHAPTER 1 Prices, Discount Factors, and Arbitrage 51

CHAPTER 2 Spot, Forward, and Par Rates 69

CHAPTER 3 Returns, Spreads, and Yields 95

PART TWO Measures of Interest Rate Risk and Hedging 119

CHAPTER 4 One-Factor Risk Metrics and Hedges 123

CHAPTER 5 Multi-Factor Risk Metrics and Hedges 153

CHAPTER 6 Empirical Approaches to Risk Metrics and Hedging 171

PART THREE Term Structure Models 201

CHAPTER 7 The Science of Term Structure Models 207

CHAPTER 8 The Evolution of Short Rates and the Shape of the Term Structure 229

CHAPTER 9 The Art of Term Structure Models: Drift 251

CHAPTER 10 The Art of Term Structure Models: Volatility and Distribution 275

CHAPTER 11 The Gauss+ and LIBOR Market Models 287

PART FOUR Selected Securities and Topics 325

CHAPTER 12 Repurchase Agreements and Financing 327

CHAPTER 13 Forwards and Futures: Preliminaries 351

CHAPTER 14 Note and Bond Futures 373

CHAPTER 15 Short-Term Rates and Their Derivatives 401

CHAPTER 16 Swaps 435

CHAPTER 17 Arbitrage with Financing and Two-Curve Discounting 457

CHAPTER 18 Fixed Income Options 483

CHAPTER 19 Corporate Bonds and Credit Default Swaps 527

CHAPTER 20 Mortgages and Mortgage-Backed Securities 563

CHAPTER 21 Curve Construction 591

References 607

Exercises 609

Index 623