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Fixed Income Markets: Management, Trading and Hedging, 2nd Edition
book

Fixed Income Markets: Management, Trading and Hedging, 2nd Edition

by Moorad Choudhry, David Moskovic, Max Wong
September 2014
Beginner content levelBeginner
640 pages
22h 53m
English
Wiley
Content preview from Fixed Income Markets: Management, Trading and Hedging, 2nd Edition

Index

 

  • Absolute Prepayment Speed (APS)
  • ABSs. See Asset-backed securities (ABSs)
  • Acceptances
  • Accrual pricing
  • Accrued interest:
    • bond yield and
    • country markets and
  • African rand (ZAR)
  • Agent
  • ALM. See Asset-liability management (ALM)
  • American options
  • Amortised bonds
  • Amortising/accreting swap
  • Amortization, controlled
  • Antidilution clause
  • APS. See Absolute Prepayment Speed (APS)
  • Arbitrage, capital-structure
  • Arbitrage-free pricing
  • Arbitrage interest-rate models
  • Arbitrageurs
  • Arithmetic mean
  • Ask price
  • Asset:
    • historical volatility of
    • “reference” or “underlying”
    • swaps (see Asset swap(s))
  • Asset-backed securities (ABSs):
    • definition of
    • key benefit of
    • liquidity and
    • market observation and
    • performance metrics/test measures
  • Asset classes
  • Asset-correlation models
  • Asset-liability management (ALM):
    • inflation swaps and
    • maturity mismatch and
    • securitization and
  • Asset-price process, standard Brownian motion and
  • Asset-returns distribution
  • Asset swap(s). See also Swaptions
    • about
    • amortising/accreting swap
    • basis swap
    • constant-maturity swap
    • differential swap
    • Eonia/SONIA swaps
    • example of
    • forward-start swap
    • interest-rate swaps, nonvanilla
    • Libor-in-arrears swap
    • margin swap
    • overnight-index swaps (see Overnight-index swaps (OIS))
    • pricing (see Asset swap pricing)
    • terms, illustration of
  • Asset swap pricing:
    • about
    • example of
  • Assumption of normality
  • ASW screen
  • “At-the-money”
  • Auto loan pools

 

  • Backwardation
  • Balance sheet capital management
  • Balance-sheet risk, securitization and
  • Bank(s). See also ...
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Publisher Resources

ISBN: 9781118171752Purchase book