Capital Market Instruments: Analysis and valuation

Front Matter....Pages i-xxviii
Front Matter....Pages 1-1
Introduction to Financial Market Instruments....Pages 3-10
Market-Determined Interest Rates, and the Time Value of Money....Pages 11-21
Front Matter....Pages 23-24
Money Market Instruments and Foreign Exchange....Pages 25-49
Fixed Income Securities I: The Bond Markets....Pages 50-121
Fixed Income Securities II: Interest-Rate Risk....Pages 122-137
Fixed Income Securities III: Option-Adjusted Spread Analysis....Pages 138-147
Interest Rate Modelling....Pages 148-164
Fitting the Yield Curve....Pages 165-173
B-Spline Modelling and Fitting the Term Structure....Pages 174-190
Inflation-Indexed Bonds and Derivatives....Pages 191-213
Front Matter....Pages 215-215
An Introduction to Asset-Backed Bonds and Securitisation....Pages 217-231
Mortgage-Backed Securities....Pages 232-263
Collateralised Debt Obligations....Pages 264-308
Front Matter....Pages 309-309
Short-Term Interest-Rate Derivatives....Pages 311-328
Swaps....Pages 329-357
Options I....Pages 358-367
Options II....Pages 368-386
Options III....Pages 387-399
Credit Derivatives....Pages 400-448
Front Matter....Pages 449-449
Introduction to Equity Instrument Analysis....Pages 451-461
Front Matter....Pages 449-449
Introduction to Financial Ratio Analysis....Pages 462-476
Front Matter....Pages 477-477
Value-at-Risk and Credit VaR....Pages 479-518
Front Matter....Pages 519-519
RATE Computer Software....Pages 521-536
Back Matter....Pages 537-548