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Bonds and bond derivatives 2nd ed

Bonds and bond derivatives 2nd ed (9회 대출)

자료유형
단행본
개인저자
Livingston, Miles.
서명 / 저자사항
Bonds and bond derivatives / Miles Livingston.
판사항
2nd ed.
발행사항
Malden, Ma. :   Blackwell Publishing ,   2005.  
형태사항
xiii, 291p ; 23cm.
ISBN
1405119128 (pbk : alk. paper)
서지주기
Includes bibliographical references and index.
일반주제명
Bonds. Bond market. Financial futures.
000 00773camuu22002418a 4500
001 000045179195
005 20050719112206
008 040813s2005 mau b 001 0 eng
020 ▼a 1405119128 (pbk : alk. paper)
035 ▼a KRIC09858136
040 ▼a DLC ▼c DLC ▼d 211076 ▼d 211076 ▼d 211009
082 0 0 ▼a 332.6323 ▼2 22
090 ▼a 332.6323 ▼b L787b2
100 1 ▼a Livingston, Miles.
245 1 0 ▼a Bonds and bond derivatives / ▼c Miles Livingston.
250 ▼a 2nd ed.
260 ▼a Malden, Ma. : ▼b Blackwell Publishing , ▼c 2005.
300 ▼a xiii, 291p ; ▼c 23cm.
504 ▼a Includes bibliographical references and index.
650 0 ▼a Bonds.
650 0 ▼a Bond market.
650 0 ▼a Financial futures.

소장정보

No. 소장처 청구기호 등록번호 도서상태 반납예정일 예약 서비스
No. 1 소장처 중앙도서관/서고6층/ 청구기호 332.6323 L787b2 등록번호 111322119 도서상태 대출가능 반납예정일 예약 서비스 B M

컨텐츠정보

목차

Preface.

Acknowledgements.

Introduction.

The Growth of Debt.

The Variability Interest Rates.

Plan of the Book.

1. Determinants of the Level of Interest Rates.

Federal Reserve.

Foreign Central Banks.

Normal Funds Approach.

Inflation and Interest Rates.

Summary.

Questions and Problems.

2. Issuers.

The U.S. Treasury.

Indexing Bonds.

Government Sponsored Entities.

Municipal Bonds.

Mortgages.

Corporations.

Summary.

Questions and Problems.

3. Financial Intermediaries.

Initial Sale of Securities (Primary Market).

Dealers and Brokers (Secondary Market).

Mutual Funds.

Insurance Companies.

Commercial Banks and Thrifts.

Comparing Types of Debt Financing.

Summary.

Questions and Problems.

4. Time Values.

A Timeline.

Future Value.

Present Value.

Price of a Bond.

Bond You to Maturity.

Other Yield Measures.

Perpetual Bonds.

Holding Period Returns.

Semi-Annual Interest.

Accrued Interest.

Newspaper and Internet Quotes.

Summary.

5. Money Market Instruments in Rates.

Money Market Instruments.

Money Market Rates.

Summary.

Questions and Problems.

6. The Risk of Changing Interest Rates.

Duration.

Immunization at a Horizon Date.

Immunizing Assets and Liabilities.

Summary.

Questions and Problems.

Appendix.

7. Time Value with Nonflat Term Structure.

Spot Interest Rates.

Present Value or Spot Prices.

Treasury Strips.

Forward Interest Rates.

Shape of the Term Structure.

Annuities.

Prices of Coupon-Bearing Bonds.

Yield to Maturity and Spot Rates.

Methods for Estimating the Term Structure Interest Rates.

Summary.

Questions and Problems.

Appendix.

8. Arbitrage.

Shortselling.

Conditions for Arbitrage.

Arbitrage and Present Values.

Arbitrage and Bond Coupons.

An Example of a Replicating Portfolio.

Creating Forward Contracts from Spot Securities.

Arbitrage and Forward Interest Rates.

Arbitrage Proof of Linear Relationship between Bond Price and Coupon.

Finding Arbitrage Opportunities.

Summary.

Questions and Problems.

9. Term Structure Interest Rates.

Historical Patterns Annual Curves.

Segmented Markets Theory.

Increasing Liquidity Premiums.

Preferred Habitat.

Money Substitute.

Expectations Hypothesis.

Combined Theory.

Humpbacked Curves.

Holding Period Returns.

Modern Term Structure Models.

Summary.

Questions and Problems.

10. Default Risk.

Default on Municipal Bonds.

Default on Mortgages.

Corporate Bonds.

Bond Ratings.

High-Yield (Junk) Bonds.

Summary.

Questions and Problems.

11. Put and Call Options.

Call Options.

Put Options.

Put-Call Parity.

Determinants of the Value of a Call Option.

Employee Stock Options.

Summary.

Questions and Problems.

12. Call Features on Bonds.

Reasons for Calling a Bond.

Embedded Options.

Yield to Call.

Refunding.

The Timing of Refunding.

The Existence of Call Provisions.

Callable Debt Versus Short-term Debt.

Advance Refundings.

Refunding Discounted Debt.

Sinking Funds.

Refunding Municipal Bonds.

Summary.

Questions and Problems.

13. Mortgages.

Mortgage Mathematics.

Variable-Rate Mortgages.

Assumable Mortgages.

The Prepayment Option.

Marketable Mortgages.

Default and Mortgage Guarantees.

Derivative Mortgage Products.

Summary.

Questions and Problems.

14. Futures Contracts.

Open Interest.

Margin and Marketing-to-Market.

Forward Vs. Futures Contracts.

Determinants of Futures Prices.

Speculative Futures Positions.

Hedging with Futures Contracts.

Summary.

Questions and Problems.

15. Bond Futures.

Treasury Bond Futures.

Hedging with Financial Futures.

Cheapest Deliverable Bond.

Other Aspects of the Delivery Process.

Summary.

Questions and Problems.

16. Other Derivatives.

Floating-rate Notes.

Interest Rate Swaps.

Convertible Bonds.

Preferred Stock.

Summary.

Questions and Problems.

17. Exchange Rates and International Investments.

International Investment.

Exchange Rates.

Exchange Rates and Imports and Exports.

Exchange Rates and Investment Returns.

Inflation, Interest Rates, and Exchange Rates.

Spot and Forward Exchange Rates.

Covered Interest Arbitrage.

Time Series Properties of Exchange Rates.

International Bond Markets and.

Summary.

Questions and Problems.

Se;ected References.

Index


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