Fixed Income and Interest Rate Derivative Analysis (Hardcover)

Fixed cash flows - Valuation of fixed cash flows with perfect replication
Imperfect replication: immunization and duration
Simple random cash flows - Forward rates, T-bill futures, and quasi-arbitrage
The eurodollar market and simple interest rate swaps
General rate-sensitive cash flows - No-arbitrage and risk-neutral pricing
State prices, forward induction, and tree-fitting
The Black-Derman-Toy Model; Convexity
Callable and convertible bonds
Credit risk
Continuous-time finance