Fixed Income Securities: Pricing and Interest Rate Risk Management

Author: Yao Changhui (Compiler)
Publisher:
Publish Date: 2006-09-01
Features: This book combines cutting-edge theories with numerous practical 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 the yield curve, term structure, synthetic bonds, and the identification of arbitrage opportunities. Additionally, it explores 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 forwards, futures, 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.