CHAPTERFIFTY-NINEINTRODUCTION TO INTEREST-RATE FUTURES AND OPTIONS CONTRACTS

FRANK J. FABOZZI, PH.D., CFA, CPA

Professor of FinanceEDHEC Business School

STEVEN V. MANN, PH.D.

Professor of FinanceMoore School of BusinessUniversity of South Carolina

MARK PITTS, PH.D.

ROBIN GRIEVES, PH.D.

Clinical ProfessorMoore School of BusinessUniversity of South Carolina

With the advent of options, futures, and forwards on interest-rate instruments, proactive fixed income risk management, in its broadest sense, assumes a new dimension. Investment managers and traders can achieve new degrees of freedom. It is now possible to alter the interest-rate sensitivity of a fixed income portfolio economically and quickly. Derivative contracts, known as such because they ...

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