Fixed Income Markets and Their Derivatives, 2e provides an integrated, self-contained analysis of the institutions, theory, and empirical evidence in the areas of fixed income markets and their derivatives. It blends extraordinarily rich institutional detail with sound theoritical principles of valuation. The text also contains empirical evidence on the behavior of interest rates, default rates, financial distress, prepayments, and more - further guiding the development of theory and its applications.



Brief Contents

Preface ix

Part I Markets, Mechanisms, and Basic Tools 1

Chapter 1 An Overview of Fixed-Income Securities 3

Chapter 2 Organization and Conduct of Debt Markets 43

Chapter 3 Treasury Auctions and Selling Mechanisms 77

Chapter 4 Bond Mathematics 125 Chapter 5 Yield-Curve Analysis-l 181

Chapter 6 Yield-Curve Analysis-2 201

Part II Fixed-Income Markets and Portfolio Management 247

Chapter 7 Inflation-Indexed Debt Markets 249

Chapter 8 Agency and Corporate Debt Markets 273

Chapter 9 Securitization and Mortgage-Backed Securities 301

Chapter 10 Tax-Exempt Debt Markets 337

Chapter 11 Emerging Debt Markets 355

Chapter 12 Portfolio-Management Techniques 371

Part ill Fixed-Income Derivatives and Risk Management 401

Chapter 13 An Overview of Derivatives Markets 403

Chapter 14 Options Pricing Theory with Applications to Fixed-Income Markets 427

Chapter 15 Treasury Futures Contracts 493

Chapter 16 Eurodollar Futures and Swaps 537

Chapter 17 Models of Yield Curve and Yield Curve Derivatives 597

Chapter 18 Credit Risk 629

Chapter 19 Risk Management 655

Index 703