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Investment Pricing Methods


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Table of Contents

Preface. Acknowledgments. 1 Pricing Concepts and the Term Structure of Interest Rates. Introduction. Present Value Formula. Duration and Other Fixed-Income Pricing Concepts. Concluding Remarks. Notes. Appendix A: Calculation of U.S. Treasury Bond Yield Curve. Appendix B: Eurodollar Futures Yields. 2 Fixed-Income Pricing Matrix and Decomposing Yields. Introduction. Determining the Discount Rate. Credit Rating Categories and Determination. Processes for Decomposing Bond Yields. Normalized-Yield Pricing Matrix. Concluding Remarks. Notes. 3 Public Corporate Bonds, Private-Placement Bonds, and Whole Commercial Mortgages. Introduction. Key Terminology. Publicly Issued Corporate Bonds. Public Corporate Bond Pricing. Private-Placement Bonds. Valuing a Private-Placement Bond. Pricing Bonds that Have Sinking-Fund Payment Requirements. Pricing Defaulted Bonds. Whole Commercial Mortgage Loans. Valuing a Whole Commercial Mortgage Loan. Monetary Default Scenarios. Notes. Appendix C: Bloomberg-Yield to Call Data. Appendix D: Selected Portions of BondCalc (r) Brochures. 4 Mortgage-Backed and Asset-Backed Securities. Introduction. Evolution of the Mortgage-Backed Securities Market. Mortgage-Backed Securities. Collateralized Mortgage Obligations. Bloomberg Median Prepayments. Stripped Securities. Private-Placement Asset-Backed Securities. Concluding Remarks. Notes. 5 Privately Held Equity. Introduction. Equity Volatility. Pricing Equity Issues. Common Equity Pricing Models Used by Investment Analysts. Price-Multiple Equity Pricing Models. Discounted Cash Flow Approach Equity Pricing Model. Basic Framework of Private-Equity Investing. Accountant's Review of Private-Equity Valuations. Concluding Remarks. Notes. 6 Public Equity Pricing. Introduction. "Fox Rocks" Valuation Illustration. Discounted Cash Flow Model. Concluding Remarks. Notes. Appendix E: "Fox Rocks" Valuation Illustration. 7 Derivatives. Introduction. Forward Contracts. Futures Contracts. Option Contracts. Swaps. Credit Derivatives. Forward Rate Agreements. Notes. Appendix F: Using Pricing Concepts of Fixed-Income Investments and Derivatives to Illustrate How to Hedge the Base Rate of Interest. Appendix G: Fixed Income Option Strategies. 8 Partnerships. Introduction. Surfside Condominium Partnership. Concluding Remarks. Glossary. References. Index.

About the Author

PATRICK CASABONA, PhD, is Associate Professor in the Department of Accounting and Taxation at the Peter J. Tobin College of Business at St. John's University and a consultant to various business organizations. ROBERT M. TRAFICANTI is Director of Accounting Policy at a major investment bank. He coauthored this book while he was a project manager at the Financial Accounting Standards Board.

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