Pricing and Hedging Interest and Credit Risk Sensitive Instruments [CD-Rom + hb]by Frank SkinnerThis book is OUT OF PRINT You may be able to find a copy at ABE Books Description of Pricing and Hedging Interest and Credit Risk Sensitive InstrumentsThis book is tightly focused on the pricing and hedging of fixed income securities and their derivatives. It is targeted at those who are interested in trading these instruments in an investment bank, but is also useful for those responsible for monitoring compliance of the traders such as regulators, back office staff, middle and senior lever managers.To broaden its appeal, this book lowers the barriers to learning by keeping math to a minimum and by illustrating concepts through detailed numerical examples using Excel workbooks/spreadsheets on a CD with the book. On the accompanying CD with the book, three interest rate models are illustrated: Ho and Lee, constant volatility and Black Derman and Toy, along with two evolutionary models, Vasicek and CIR and two credit risk models, Jarrow and Turnbull and Duffie and Singleton. These are implemented via spreadsheets on the CD. Title Information
Write a review of this book Customer Reviews from AmazonContents of Pricing and Hedging Interest and Credit Risk Sensitive InstrumentsAn Introduction to Interest Rate and Credit Sensitive InstrumentsBond conventions Bond markets Trends in the global capital markets Corporate bonds Scope of this book Exercises The Sovereign Term Structure and the Risk Structure of Interest Rates Objectives-pricing and hedging Introduction to the term and credit risk structure of interest rates The uses of the term structure and risk structure of interest rates Theories of the sovereign term structure of interest rates Theory of the risk structure of interest rates How sovereign bonds are issued Repos Summary Exercises Measuring the Existing Sovereign Term Structure and the Risk Structure of Interest Rates Measuring the sovereign term structure of interest rates Frequently traded bonds Zero coupon yields Measuring continuous yield curves Par coupon yield curve Summary Exercises Modelling the Sovereign Term Structure of Interest Rates The Binomial Approach The binomial approach The simple model Which short rate of interest should we model? Pricing a bond using the interest rate tree The problems with the simple model Incorporating risk aversion Exercises Interest Rate Modelling The term structure consistent approach Desirable features of an interest rate model Ho and Lee (1986) Black Derman and Toy Constant volatility Black Derman and Toy (1990) Some other one-factor term structure consistent models Summary Exercises Interest and Credit Risk Modelling Evolutionary interest rate models Vasicek (1977) Cox Ingersoll and Ross (1985) Other evolutionary models Comparing the term structure consistent and evolutionary models The problem with interest rate (and credit risk) models Non-stochastic credit risk models Jarrow and Turnbull (1995) Duffie and Singleton (1999) Other credit risk modelling approaches Summary Exercises Hedging Sovereign Bonds The Traditional Approach Introduction Macaulay Duration Modified duration Other measures of interest rate sensitivity Convexity Hedging Regression based hedge ratios Duration based hedge ratio Basis risk Appendix Exercises Active and Passive Strategies Introduction Adjusting the duration of a portfolio Active and passive strategies Implementing a rate anticipation swap Implementing an asset substitution swap Portfolio immunisation Balance sheet immunisation Bond portfolio management Exercises Alternative Hedge Ratios Improvements in modified duration hedge ratios Fisher Weil Key rate durations Duration for corporate bonds Delta hedging Exercises Pricing and Hedging Non-Fixed Income Securities Introduction Floaters Inverse floaters Caps floors and collars Interest rate swaps Exercises Credit Derivatives Introduction Types of credit derivatives Vulnerable derivatives Credit default swaps Issues in default swap pricing Exercises Embedded Options Introduction An introduction to callable/putable bonds Measures of interest rate sensitivity for callable bonds Sinking fund bonds Exercises |
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