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Fixed Income Securities


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Table of Contents

Preface. Acknowledgments. PART I: BASICS. 1 An Introduction to Fixed Income Markets. 2 Basics of Fixed Income Securities. 3 Basics of Interest Rate Risk Management. 4 Basic Refinements in Interest Rate Risk Management. 5 Interest Rate Derivatives: Forwards and Swaps. 6 Interest Rate Derivatives: Futures and Options. 7 Inflation, Monetary Policy, and the Federal Funds Rate. 8 Basics of Residential Mortgage Backed Securities. PART II: TERM STRUCTURE MODELS: TREES. 9 One Step Binomial Trees. 10 Multi-Step Binomial Trees. 11 Risk Neutral Trees and Derivative Pricing. 12 American Options. 13 Monte Carlo Simulations on Trees. PART III: TERM STRUCTURE MODELS: CONTINUOUS TIME. 14 Interest Rate Models in Continuous Time. 15 No Arbitrage and the Pricing of Interest Rate Securities. 16 Dynamic Hedging and Relative Value Trades. 17 Risk Neutral Pricing and Monte Carlo Simulations. 18 The Risk and Return of Interest Rate Securities. 19 No Arbitrage Models and Standard Derivatives. 20 The Market Model for Standard Derivatives. 21 Forward Risk Neutral Pricing and the LIBOR Market Model. 22 Multifactor Models. References. Index.

About the Author

Pietro Veronesi is the Roman Family Professor of Finance at the Booth School of Business at The University of Chicago, where he teaches Masters and PhD-level courses in Finance. His research focuses on asset pricing, stock and bond valuation under Bayesian uncertainty and learning, and equilibrium models of return predictability. Dr. Veronesi is a research associate of the National Bureau of Economic Research and a research fellow of the center for Economic and Policy Research. His work has appeared in numerous publications, including the Journal of Political Economy, Journal of Finance, Journal of Financial Economics, and Review of Financial Studies.

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