Fixed Income Securities - Pricing and Interest Rate Risk Management: Pricing and Interest Rate Risk Management

Author: Yao Changhui
Publisher:
Publish Date: 2006-09-01
Features: This book combines cutting-edge theories with numerous examples, focusing on pricing and risk management. It introduces the basic characteristics, types, and risk categories of fixed-income securities, and then elaborates on and analyzes key topics such as the yield curve and term structure, synthetic bonds and arbitrage opportunities, the application of duration and convexity in portfolio risk management, the pricing and risk features of swaps, the pricing principles and risk management of interest rate futures, forward contracts, and repurchase agreements, the value analysis of securities with embedded options, as well as the principles, steps, pricing, and risk features of asset securitization. This book is suitable for graduate students in economics and management disciplines, MBA students, and professionals in the financial industry.