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雷达卡
INTRODUCTION xiii
ACKNOWLEDGMENTS xv
PART ONE
The Relative Pricing of Fixed Income Securities with Fixed Cash Flows 1
CHAPTER 1
Bond Prices, Discount Factors, and Arbitrage 3
CHAPTER 2
Bond Prices, Spot Rates, and Forward Rates 23
CHAPTER 3
Yield-to-Maturity 41
CHAPTER 4
Generalizations and Curve Fitting 53
PART TWO
Measures of Price Sensitivity and Hedging 87
CHAPTER 5
One-Factor Measures of Price Sensitivity 89
CHAPTER 6
Measures of Price Sensitivity Based on Parallel Yield Shifts 115
CHAPTER 7
Key Rate and Bucket Exposures 133
CHAPTER 8
Regression-Based Hedging 149
PART THREE
Term Structure Models 169
CHAPTER 9
The Science of Term Structure Models 171
CHAPTER 10
The Short-Rate Process and the Shape of the Term Structure 193
CHAPTER 11
The Art of Term Structure Models: Drift 219
CHAPTER 12
The Art of Term Structure Models: Volatility and Distribution 245
CHAPTER 13
Multi-Factor Term Structure Models 259
CHAPTER 14
Trading with Term Structure Models 277
PART FOUR
Selected Securities 301
CHAPTER 15
Repo 303
CHAPTER 16
Forward Contracts 325
CHAPTER 17
Eurodollar and Fed Funds Futures 339
CHAPTER 18
Interest Rate Swaps 371
CHAPTER 19
Fixed Income Options 397
CHAPTER 20
Note and Bond Futures 423
CHAPTER 21
Mortgage-Backed Securities 455
EXERCISES 479
REFERENCES AND SUGGESTIONS FOR FURTHER READING 497
INDEX 501
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