Table of Contents: Fixed income and interest rate derivative analysis /

Main Author:	Britten-Jones, Mark, 1963-
Format:	Book
Language:	English
Published:	Oxford ; Boston : Butterworth-Heinemann, 1998.
Subjects:	Fixed-income securities. Derivative securities. Cash flow. Interest rate swaps. Fixed-income securities. Derivative securities. Cash flow. Interest rate swaps. Valeurs mobilières à revenus fixes. Instruments dérivés (Finances) Marge brute d'autofinancement. Échanges de taux d'intérêt. BUSINESS & ECONOMICS > Investments & Securities > General.
Online Access:	http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=297196

Table of Contents:

Preface; Acknowledgements; Fixed cash flows
Valuation of fixed cash flows with perfect replication; Imperfect replication: immunization and duration; Simple random cash flows
Forward rates, T-bill futures, and quasi-arbitrage; The eurodollar market and simple interest rate swaps; General rate-sensitive cash flows
No-arbitrage and risk-neutral pricing; State prices, forward induction, and tree-fitting; The Black-Derman-Toy Model; Convexity; Callable and convertible bonds; Credit risk; Continuous-time finance; Index.