[eBook Code] Fixed Income Securities (eBook Code, 3rd)

Preface to the Third Edition xi

Acknowledgments xiii

An Overview of Global Fixed Income Markets 1

Part One The Relative Pricing Of Securities With Fixed Cash Flows 47

Chapter 1 Prices, Discount Factors, and Arbitrage 51

Chapter 2 Spot, Forward, And Par Rates 69

Chapter 3 Returns, Spreads, and Yields 95

Part Two Measures of Interest Rate Risk and Hedging 119

Chapter 4 One-Factor Risk Metrics and Hedges 123

Chapter 5 Multi-Factor Risk Metrics and Hedges 153

Chapter 6 Empirical Approaches to Risk Metrics And Hedging 171

Part Three Term Structure Models 201

Chapter 7 The Science Of Term Structure Models 207

Chapter 8 The Evolution Of Short Rates And The Shape Of The Term Structure 229

Chapter 9 The Art Of Term Structure Models: Drift 251

Chapter 10 The Art Of Term Structure Models: Volatility And Distribution 275

Chapter 11 The Gauss+ And Libor Market Models 287

Part Four Selected Securities and Topics 325

Chapter 12 Repurchase Agreements and Financing 327

Chapter 13 Forwards and Futures: Preliminaries 351

Chapter 14 Note and Bond Futures 373

Chapter 15 Short-Term Rates and Their Derivatives 401

Chapter 16 Swaps 435

Chapter 17 Arbitrage with Financing and Two-Curve Discounting 457

Chapter 18 Fixed Income Options 483

Chapter 19 Corporate Bonds and Credit Default Swaps 527

Chapter 20 Mortgages and Mortgage-Backed Securities 563

Chapter 21 Curve Construction 591

References 607

Index 609