Fixed Income Analysis for the Global Financial Market: Money Market, Foreign Exchange, Securities, and Derivatives - Questa

Global fixed-income markets, both securities and their derivatives, have registered phenomenal growth over the past two decades, yet many instruments and strategies are often misunderstood and, as a result, mishandled for the purposes of effective risk management.

This comprehensive book explains and clarifies the essential building blocks underlying the pricing and risk analysis of fixed-income securities and derivatives-using mathematics lightly, to make things easier, not harder. The emphasis throughout is on how-to-do, on building operational knowledge from the ground up. There are more than 300 examples and exhibits based on current market data.

The international dimension is also an integral part of the analysis. A true global financial village has emerged, heavily dependent for its operations on real-time international telecommunications networks. The focus of this book is on instruments which can be freely traded internationally, generally without controls, taxes, or other restrictions. You will find essential information on the global money market, foreign exchange transactions and foreign exchange derivatives, bonds and zero coupon bonds-including a risk management-driven discussion of duration and convexity, interest rate swaps, currency swaps, and exchange-traded futures, stochastic models and option pricing, and stochastic models of the yield curve.

  • Level: Basic+
  • Major Topics: T12
  • Minor Topics: T11, T14, T22


Table of Contents

Part 1. Short-Term Money Market Instruments
1. Background and Terminology
2. Interest, Discount, Compounded Yield
3. The Exponential Notation
4. Spot and Forward Yields: FRAs, Repos, and Futures
5. Foreign-Exchange Transactions

Part 2. Long-Term Securities, Futures, and Swaps
6. Zero-Coupon Bonds
7. Fixed- Interest Coupon Bonds
8. Coupon Bonds: Advanced Topics
9. Floating-Rate Securities
10. Interest-Rate and Currency Swaps
11. Futures on Bonds and Notes

Part 3. Options
12. An Introduction to Options
13. Fixed-Income Options, Bonds with Optionlike Features
14. Basic Statistical Tools
15. Stochastic Models
16. Binomial Option Pricing: An Introduction
17. Extending the Binomial Model
18. The Black-Scholes and Other Option-Pricing Models
19. Modeling the Yield Curveā€¦read more