Advanced Fixed Income Analysis, 2nd Edition

Table of contents

1. Cover image
2. Title page
3. Table of Contents
4. Copyright
5. Dedication
6. About the Authors
7. Preface
8. Preface to the First Edition (published 2004)
   1. The Dynamics of the Yield Curve
   2. Factors Influencing the Yield Curve
   3. Approaches to Modelling
   4. One-factor, Two-factor and Multi-factor Models
   5. The Short-term Rate and the Yield Curve
   6. Arbitrage-free and Equilibrium Modelling
   7. Risk-neutral Probabilities
   8. Mathematics Primer
   9. Random Variables and Probability Distributions
9. Chapter 1: Asset-Swap Spreads and Relative Value Analysis
   1. Abstract
   2. 1.1 Asset-Swap Spread
   3. 1.2 Swap Spread for Richness and Cheapness Analysis
   4. 1.3 Z-Spread Measure
   5. 1.4 The Credit Default Swap Basis and Trading Issues
   6. 1.5 Analysis Using Market Observation
   7. Appendix 1 The Par Asset-Swap Spread
10. Chapter 2: The Dynamics of Asset Prices
    1. Abstract
    2. 2.1 The Behaviour of Asset Prices
    3. 2.2 Stochastic Calculus Models: Brownian Motion and Itô Calculus
    4. 2.3 Perfect Capital Markets
    5. Appendix A An Introduction to Stochastic Processes
    6. Appendix B Itô’s Lemma
    7. Appendix C Derivation of Itô’s Formula
    8. Appendix D The Integral
11. Chapter 3: Interest-Rate Models I
    1. Abstract
    2. 3.1 Introduction
    3. 3.2 Interest-Rate Processes
    4. 3.3 One-Factor Models
    5. 3.4 Arbitrage-Free Models
    6. 3.5 Fitting the Model
    7. 3.6 Summary
    8. 3.7 Website Models
    9. Appendix Illustration of Forward Rate Structure When Spot Rate Structure Is Increasing
12. Chapter 4: Interest-Rate Models II
    1. Abstract
    2. 4.1 Introduction
    3. 4.2 The HJM Model
    4. 4.3 Multi-Factor Term Structure Models
    5. 4.4 Assessing One-Factor and Multi-Factor Models
13. Chapter 5: Fitting the Term Structure
    1. Abstract
    2. 5.1 Introduction
    3. 5.2 Bond Market Information
    4. 5.3 Curve-Fitting Techniques: Parametric
    5. 5.4 The Cubic Spline Method for Estimating and Fitting the Yield Curve
    6. 5.5 The Anderson-Sleath Evaluation
    7. 5.6 Multicurrency Yield Curve
    8. Appendix A The McCulloch Cubic Spline Model
    9. Appendix B Parametric and Cubic Spline Yield Curve Models
14. Chapter 6: Advanced Analytics for Index-Linked Bonds
    1. Abstract
    2. 6.1 Index-Linked Bonds and Real Yields
    3. 6.2 Duration and Index-Linked Bonds
    4. 6.3 Estimating the Real Term Structure of Interest Rates
    5. 6.4 The Valuation of Inflation-Linked Bonds
    6. 6.5 Web Site Models
    7. Appendix A Inflation-Linked Bond Pricing
15. Chapter 7: Analysing the Long-Bond Yield
    1. Abstract
    2. 7.1 Theories of Long-Dated Bond Yields
    3. 7.2 Pricing a Long Bond
    4. 7.3 Further Views on the Long-Dated Bond Yield
    5. 7.4 Analysing the Convexity Bias in Long-Bond Yields
16. Chapter 8: The Default Risk of Corporate Bonds
    1. Abstract
    2. 8.1 Corporate Bond Default Spread Risk
    3. 8.2 Default Risk and Default Spreads
    4. 8.3 Modeling the Credit Risk
    5. 8.4 Web Site Models
17. Chapter 9: Convertible Securities: Analysis and Valuation
    1. Abstract
    2. 9.1 What Is Going on in the Convertible Market?
    3. 9.2 Convertible Bond Analysis
    4. 9.3 Convertible Bond Valuation
    5. 9.4 Further Convertible Bond Features
    6. 9.5 Convertible Price Sensitivities
    7. 9.6 Web Site Models
    8. Appendix Convertible Bond Issues in the Italian Market
18. Chapter 10: Floating-Rate Notes
    1. Abstract
    2. 10.1 Main Features of Floaters
    3. 10.2 The Structure
    4. 10.3 The Valuation
    5. 10.4 Other Features of Floating-Rate Notes
19. Chapter 11: Bonds with Embedded Options
    1. Abstract
    2. 11.1 The Analysis of Bonds with Embedded Options
    3. 11.2 Callable Bond Pricing
    4. 11.3 Step-Up Callable Notes
    5. 11.4 Sinking Funds
    6. 11.5 Web Site Models
20. Index