Modeling Fixed Income Securities and Interest Rate Options

Cover
 Half Title
 Series Page
 Title Page
 Copyright Page
 Dedication Page
 Contents
 Preface to the Third Edition
 Section I Introduction
 Chapter 1 Introduction
 1.1 The Approach
 1.2 Motivation
 1.3 The Methodology
 1.4 An Overview
 References
 Chapter 2 Traded Securities
 2.1 Treasury Securities
 2.2 Treasury Security Markets
 2.3 Repo Markets
 2.4 Treasury Futures Markets
 2.5 Interest Rate Derivatives on Treasuries
 2.6 Eurodollar Spot, Forward, and Futures Markets
 2.7 Interest Rate Derivatives on LIBOR
 References
 Chapter 3 The Classical Approach
 3.1 Motivation
 3.2 Coupon Bonds 3.3 The Bond's Yield, Duration, Modified Duration, and Convexity3.4 Risk Management
 Reference
 Section II Theory
 Chapter 4 The Term Structure of Interest Rates
 4.1 The Economy
 4.2 The Traded Securities
 4.3 Interest Rates
 4.4 Forward Prices
 4.5 Futures Prices
 4.6 Option Contracts
 4.6.1 Definitions
 4.6.2 Payoff Diagrams
 4.7 Summary
 References
 Chapter 5 The Evolution of the Term Structure of Interest Rates
 5.1 Motivation
 5.2 The One-Factor Economy
 5.2.1 The State Space Process
 5.2.2 The Bond Price Process
 5.2.3 The Forward Rate Process
 5.2.4 The Spot Rate Process 5.3 The Two-Factor Economy5.3.1 The State Space Process
 5.3.2 The Bond Price Process
 5.3.3 The Forward Rate Process
 5.3.4 The Spot Rate Process
 5.4 N ≥ 3-Factor Economies
 5.5 Consistency with Equilibrium
 References
 Chapter 6 The Expectations Hypothesis
 6.1 Motivation
 6.2 Present Value Form
 6.3 Unbiased Forward Rate Form
 6.4 Relation between the Two Versions of the Expectations Hypothesis
 6.5 Empirical Illustration
 6.5.1 Present Value Form
 6.5.2 Unbiased Forward Rate Form
 References
 Chapter 7 Trading Strategies, Arbitrage Opportunities, and Complete Markets
 7.1 Motivation 7.2 Trading Strategies7.3 Arbitrage Opportunities
 7.4 Complete Markets
 Chapter 8 Bond Trading Strategies --
An Example
 8.1 Motivation
 8.2 Method 1: Synthetic Construction
 8.2.1 An Arbitrage-Free Evolution
 8.2.2 Complete Markets
 8.3 Method 2: Risk-Neutral Valuation
 8.3.1 Risk-Neutral Probabilities
 8.3.2 Risk-Neutral Valuation
 8.3.3 Exploiting an Arbitrage Opportunity
 Chapter 9 Bond Trading Strategies --
The Theory
 9.1 The One-Factor Economy
 9.1.1 Complete Markets
 9.1.2 Risk-Neutral Probabilities
 9.1.3 Risk-Neutral Valuation
 9.1.4 Bond Trading Strategies 9.2 The Two-Factor Economy9.2.1 Complete Markets
 9.2.2 Risk-Neutral Probabilities
 9.2.3 Risk-Neutral Valuation
 9.2.4 Bond Trading Strategies
 9.3 Multiple Factor Economies
 Appendix
 References
 Chapter 10 Contingent Claims Valuation --
Theory
 10.1 Motivation
 10.2 The One-Factor Economy
 10.2.1 Complete Markets
 10.2.2 Risk-Neutral Probabilities
 10.2.3 Risk-Neutral Valuation
 10.3 The Two-Factor Economy
 10.3.1 Complete Markets
 10.3.2 Risk-Neutral Probabilities
 10.3.3 Risk-Neutral Valuation
 10.4 Multiple Factor Economies
 Appendix
 Section III Applications
 Chapter 11 Coupon Bonds