Modeling Fixed Income Securities and Interest Rate Options (Hardcover)

Outline I INTRODUCTION 1 Introduction A The Approach B Motivation C The Methodology D An Overview E References 2 Traded Securities A Treasury Securities B Treasury Security Markets C Repo Markets D Treasury Futures Markets E Interest Rate Derivatives on Treasuries F Eurodollar Spot, Forward and Futures Markets G Interest Rate Derivatives on LIBOR H References 3 Classical Approach A Motivation B Coupon Bonds C Bond Yields, Duration, Modified Duration, Convexity D Risk Management E References II THEORY 4 The Term Structure of Interest Rates A The Economy B The Traded Securities C Interest Rates D Forward Contracts E Futures Contracts F Option Contracts G Summary H references 5 The Evolution of the Term Structure of Interest Rates A Motivation B The One-factor Economy C The Two-factor Economy D Multiple factor Economies E Consistency with Equilibrium F References 6 Expectations Hypothesis A Motivation B Present Value Form C Unbiased Forward Rate Form D Relation between the Two Versions of the Expectations Hypothesis E Empirical Illustration F References 7 Trading Strategies, Arbitrage Opportunities, and Complete Markets A Motivation B Trading Strategies C Arbitrage Opportunities D Complete Markets 8 Bond Trading Strategies ? An Example A Motivation B Method 1 ? Synthetic Construction C Method 2 ? Risk Neutral Valuation 9 Bond Trading Strategies ? The Theory A Motivation B The One-Factor Economy C The Two-Factor Economy D Multiple Factor Economies E References F Appendix 10 Interest Rate Derivatives Valuation ? Theory A Motivation B The One-Factor Economy C The Two-Factor Economy D Multiple Factor Economies E Appendix III APPLICATIONS 11 Coupon Bonds A A Coupon Bond as a Portfolio of Zero-Coupon Bonds B A Coupon Bond as a Dynamic Trading Strategy C A Comparison of HJM Hedging versus Duration Hedging 12 Options on bonds A Distribution Free Option Theory B European Options on Zero-Coupon Bonds C American Options on Coupon Bonds D Call Provisions on Coupon Bonds E References 13 Forwards and Futures A Forwards B Futures C The Relationship Between Forward and Futures Prices D Options on Futures E Exchange Traded Treasury Futures Options F References 14 Swaps, Caps, Floors and Swaptions A Fixed Rate and Floating Rate Loans B Interest Rate Swaps C Interest Rate Caps D Interest Rate Floors E Swaptions F References 15 Interest Rate Exotics A Simple Interest Rates B Digital Options C Range Notes D Index Amortizing Swaps E References 16 Extensions A Foreign Currency Derivatives B Credit Derivatives and Counterparty Risk C Commodity Derivatives D References IV IMPLEMENTATION/ESTIMATION 17 Continuous Time Limits A Motivation B One-Factor Economy C Two-Factor Economy D Multiple-Factor Economies E Computational Issues F References 18 Parameter Estimation A Coupon Bond Stripping B The Initial Forward Rate Curve C Volatility Function Estimation D Application to Coupon Bond Data E Appendix F References ?