The book is tailored for beginners in this area and as such it does not attempt to teach students about fixed income derivative securities and the evaluation of the term structure of interest rates. Rather it focuses on cementing the core and fundamental points of fixed income securities. The valuation of different positions and financial contracts is covered as long as it can be done by using only the current term structure of interest rates (andnotitsevolution). Therebywebelievethatwewillexposethestudent to the way of thinking and analyzing situations utilizing the NA condition (without the complicated issues of the evolution of the term structure). The book starts by reviewing the concept of time value of money. It continues by underlying the basic framework of government bondmarkets, the role of the NA (no free lunch condition), and its relation to the TS and discount factors. Next the estimation of the TS is addressed followed by the valuations of swaps and futures (forwards) in a one-period setting. A variety of instruments, the valuation of which depends on the TS (in a multi-period framework), are explored. The book also covers interest rate risk management, immunization strategies, and matched cash flow. It also touches on interest rate options (mainly utilizing a binomial-based model) and credit derivatives. This book is tailored to an introductory (undergraduate) course spanning 12–15 weeks of lectures or a short graduate course of about 6 weeks. After taking a course based on this book, the students will know how to value different financial contracts that require the current realization of the TS (“yield curve”) as an input. However we believe they will appreciate and acquire a full understanding of the implications and applications of the NA in bond markets. The book presents a universal view of bond markets . We believe that our goals can be accomplished requiring only the very basic course of introduction to finance.
Lecture Notes In Fixed Income Fundamentals.pdf
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