Fixed income markets and their derivatives / Suresh M. Sundaresan.

Format:

Book

Author/Creator:

Sundaresan, Suresh M.

Series:

Academic Press Advanced Finance

Language:

English

Subjects (All):

Fixed-income securities.

Securities.

Physical Description:

1 online resource (456 p.)

Edition:

3rd ed.

Place of Publication:

Cincinnati, Ohio : South-Western College Pub., c2009.

Language Note:

English

System Details:

text file

Summary:

The 3e of this well-respected textbook continues the tradition of providing clear and concise explanations for fixed income securities, pricing, and markets. The book matches well with fixed income securities courses. The book's organization emphasizes institutions in the first part, analytics in the second, selected segments of fixed income markets in the third, and fixed income derivatives in the fourth. This enables instructors to customize the material to suit their course structure and the mathematical ability of their students.* New material on Credit Default Swaps, Collateralize

Contents:

Front Cover; Fixed Income Markets and Their Derivatives; Copyright Page; Contents; Preface; Acknowledgments; 1 INSTITUTIONS AND CONVENTIONS; 1 Overview of Fixed Income Markets; 1.1 Overview of Debt Contracts; 1.1.1 Cash-Flow Rights of Debt Securities; 1.1.2 Primary and Secondary Markets; 1.2 Players and Their Objectives; 1.2.1 Governments; 1.2.2 Central Banks; 1.2.3 Federal Agencies and Government-Sponsored Enterprises (GSEs); 1.2.4 Corporations and Banks; 1.2.5 Financial Institutions and Dealers; 1.2.6 ""Buy-Side"" Institutions; 1.2.7 Households; 1.3 Classification of Debt Securities

1.4 Risk of Debt Securities1.4.1 Interest Rate Risk; 1.4.2 Credit Risk; 1.4.3 Liquidity Risk; 1.4.4 Contractual Risk; 1.4.5 Inflation Risk; 1.4.6 Event Risk; 1.4.7 Tax Risk; 1.4.8 FX Risk; 1.5 Return-Risk History; Suggested References and Readings; 2 Price-Yield Conventions; 2.1 Concepts of Compounding and Discounting; 2.1.1 Future Values; 2.1.2 Annuities; 2.1.3 Present Values; 2.2. Yield to Maturity or Internal Rate of Return; 2.2.1 Semiannual Compounding; 2.3. Prices in Practice; 2.4. Prices and Yields of T-Bills; 2.4.1 Yield of a T-Bill with n < 182 Days

2.4.2 Yield of a T-Bill with n > 182 Days2.5. Prices and Yields of T-Notes and T-Bonds; 2.6. Price-Yield Relation Is Convex; 2.7. Conventions in Other Markets; Suggested References and Readings; 3 Federal Reserve (Central Bank) and Fixed Income Markets; 3.1 Central Banks; 3.2 Monetary Policies; 3.2.1 Open Market Operations; 3.2.2 The Discount Window; 3.2.3 Reserve Requirements; 3.3 Fed Funds Rates; 3.4 Payments Systems and Conduct of Auctions; 3.5 Fed's Actions to Stem the Credit Crunch of 2007-2008; Suggested Readings and References; 4 Organization and Transparency of Fixed Income Markets

4.1 Introduction4.2 Primary Markets; 4.2.1 Treasury Markets; 4.2.2 Corporate Debt; 4.3 Interdealer Brokers; 4.4 Secondary Markets; 4.4.1 Dealer Market Transparency; 4.4.2 Indicators of Transparency; 4.4.3 Evidence on Trading Characteristics; 4.4.4 Matrix Prices and Execution Costs; 4.5 Evolution of Secondary Markets; Suggested Readings and References; 5 Financing Debt Securities: Repurchase (Repo) Agreements; 5.1 Repo and Reverse Repo Contracts; 5.1.1 Repo Contract Defined; 5.1.2 Reverse Repo Contract Defined; 5.1.3 Repo as Secured Lending; 5.2 Real-Life Features

5.3 Long and Short Positions Using Repo and Reverse Repo5.4 General Collateral Repo Agreement; 5.4.1 GC Repo Contract and Market; 5.4.2 GC Repo Rates; 5.5 Special Collateral Repo Agreement; 5.6 Fails in Repo Market; 5.7 Developments in Repo Markets; Suggested Readings and References; 6 Auctions of Treasury Debt Securities; 6.1 Benchmark Auctions Schedule; 6.1.1 Auctions of Money Market Instruments; 6.1.2 Auctions of Treasury Notes; 6.1.3 Auctions of Treasury Bonds; 6.1.4 Auctions of TIPS; 6.2 Conduct of Treasury Auctions; 6.2.1 Auction Announcement; 6.2.2 When-Issued Trading and Book Building

6.2.3 Auction Mechanisms

Notes:

Description based upon print version of record.

Includes bibliographical references and index.

ISBN:

9786612737305

9781282737303

1282737309

9780080919331

0080919332

OCLC:

476274894