Veronesi, Pietro <br/><br/>
Fixed income securities:  valuation, risk and risk management 

 - New Delhi  Wiley India Pvt. Ltd.  2023 
 - xxxii, 598 p. 
<br/><br/> Table of content:<br/>Preface to the Adapted Edition  <br/><br/>Preface  <br/><br/>Acknowledgments<br/><br/>Part I Fixed Income Markets<br/><br/>1 An Introduction to Fixed Income Markets<br/><br/>1.1 Introduction  <br/><br/>1.2 The Government Debt Markets  <br/><br/>1.3 The Money Market  <br/><br/>1.4 The Repo Market  <br/><br/>1.5 The Mortgage-Backed Securities Market and Asset-Backed Securities Market<br/><br/>1.6 The Derivatives Market  <br/><br/>1.7 Roadmap of Future Chapters  <br/><br/>1.8 Summary  <br/><br/>2 Basics of Fixed Income Securities<br/><br/>2.1 Discount Factors  <br/><br/>2.2 Interest Rates  <br/><br/>2.3 The Term Structure of Interest Rates<br/><br/>2.4 Coupon Bonds  <br/><br/>2.5 Floating Rate Bonds<br/><br/>2.6 Summary<br/><br/>2.7 Exercises<br/><br/>2.8 Case Study: Orange County Inverse Floaters<br/><br/>2.9 Appendix: Extracting the Discount Factors Z (0, T)<br/><br/>3 Basics of Interest Rate Risk Management<br/><br/>3.1 The Variation in Interest Rates  <br/><br/>3.2 Duration  <br/><br/>3.3 Interest Rate Risk Management  <br/><br/>3.4 Asset-Liability Management  <br/><br/>3.5 Summary  <br/><br/>3.6 Exercises  <br/><br/>3.7 Case Study: The 1994 Bankruptcy of Orange County<br/><br/>3.8 Case Analysis: The Ex-Ante Risk in Orange County’s Portfolio<br/><br/>3.9 Appendix: Expected Shortfall under the Normal Distribution<br/><br/>4. Basic Refinements in Interest Rate Risk Management<br/><br/>4.1 Convexity  <br/><br/>4.2 Slope and Curvature  <br/><br/>4.3 Summary  <br/><br/>4.4 Exercises  <br/><br/>4.5 Case Study: Factor Structure in Orange County’s Portfolio<br/><br/>4.6 Appendix: Principal Component Analysis<br/><br/>5 Interest Rate Derivatives: Forwards and Swaps<br/><br/>5.1 Forward Rates and Forward Discount Factors<br/><br/>5.2 Forward Rate Agreements  <br/><br/>5.3 Forward Contracts  <br/><br/>5.4 Interest Rate Swaps  <br/><br/>5.5 Interest Rate Risk Management using Derivative Securities<br/><br/>5.6 Summary  <br/><br/>5.7 Exercises<br/><br/>5.8 Case Study: PiVe Capital Swap Spread Trades<br/><br/>6 Interest Rate Derivatives: Futures and Options<br/><br/>6.1 Interest Rate Futures  <br/><br/>6.2 Options  <br/><br/>6.3 Summary  <br/><br/>6.4 Exercises  <br/><br/>6.5 Appendix: Liquidity and the LIBOR Curve<br/><br/>6.6 Appendix: Transitioning from LIBOR to SOFR<br/><br/>7. Inflation, Monetary Policy, and the Federal Funds Rate<br/><br/>7.1 Central Banks  <br/><br/>7.2 The RBI and Monetary Policy<br/><br/>7.3 Understanding the Term Structure of Interest Rates   <br/><br/>7.4 Coping with Inflation Risk: Treasury Inflation-Protected Securities   <br/><br/>7.5 Summary   <br/><br/>7.6 Exercises    <br/><br/>7.7 Case Study: Monetary Policy during the Subprime Crisis of 2007 – 2008  <br/><br/>7.8 Appendix: Derivation of Expected Return Relation  <br/><br/>8 Basics of Residential Mortgage-Backed Securities<br/><br/>8.1 Securitization   <br/><br/>8.2 Mortgages and the Prepayment Option  <br/><br/>8.3 Mortgage-Backed Securities   <br/><br/>8.4 Collateralized Mortgage Obligations  <br/><br/>8.5 Summary    <br/><br/>8.6 Exercises    <br/><br/>8.7 Case Study: PiVe Investment Group and the Hedging of Pass-<br/><br/>8.8 Appendix: Effective Convexity  <br/><br/>Part II Term Structure Models: Trees<br/><br/>9 One Step Binomial Trees<br/><br/>9.1 A one-step interest rate binomial tree    <br/><br/>9.2 No Arbitrage on a Binomial Tree<br/><br/>9.3 Derivative Pricing as Present Discounted Values of Future Cash<br/><br/>9.4 Risk Neutral Pricing   <br/><br/>9.5 Summary  <br/><br/>9.6 Exercises  <br/><br/>10 Multi-Step Binomial Trees  <br/><br/>10.1 A Two-Step Binomial Tree   <br/><br/>10.2 Risk Neutral Pricing   <br/><br/>10.3 Matching the Term Structure  <br/><br/>10.4 Multi-step Trees   <br/><br/>10.5 Pricing and Risk Assessment: The Spot Rate Duration  <br/><br/>10.6 Summary  <br/><br/>10.7 Exercises  <br/><br/>11 Risk Neutral Trees and Derivative Pricing<br/><br/>11.1 Risk Neutral Trees    <br/><br/>11.2 Using Risk Neutral Trees   <br/><br/>11.3 Implied Volatilities and the Black, Derman, and Toy Model   <br/><br/>11.4 Risk Neutral Trees for Futures Prices    <br/><br/>11.5 Implied Trees: Final Remarks  <br/><br/>11.6 Summary    <br/><br/>11.7 Exercises  <br/><br/> <br/><br/>12 American Options  <br/><br/>12.1 Callable Bonds   <br/><br/>12.2 American Swaptions   <br/><br/>12.3 Mortgages and Residential Mortgage-Backed Securities    <br/><br/>12.4 Summary    <br/><br/>12.5 Exercises   <br/><br/>13 Monte Carlo Simulations on Trees  <br/><br/>13.1 Monte Carlo Simulations on a One-step Binomial Tree    <br/><br/>13.2 Monte Carlo Simulations on a Two-Step Binomial Tree   <br/><br/>13.3 Monte Carlo Simulations on Multi-Step Binomial Trees  <br/><br/>13.4 Pricing Path Dependent Options    <br/><br/>13.5 Spot Rate Duration by Monte Carlo Simulations  <br/><br/>13.6 Pricing Residential Mortgage-Backed Securities  <br/><br/>13.7 Summary    <br/><br/>13.8 Exercises    <br/><br/>Part III Term Structure Models: Continuous Time<br/><br/>14 Interest Rate Models in Continuous Time<br/><br/>14.1 Brownian Motions   <br/><br/>14.2 Differential Equations   <br/><br/>14.3 Continuous Time Stochastic Processes   <br/><br/>14.4 Ito’s Lemma   <br/><br/>14.5 Illustrative Examples  <br/><br/>14.6 Summary    <br/><br/>14.7 Exercises    <br/><br/>14.8 Appendix: Rules of Stochastic Calculus   <br/><br/>15 No Arbitrage and The Pricing of Interest Rate Securities<br/><br/>15.1 Bond Pricing with Deterministic Interest Rate  <br/><br/>15.2 Interest Rate Security Pricing in the Vasicek Model   <br/><br/>15.3 Derivative Security Pricing  <br/><br/>15.4 No Arbitrage Pricing in a General Interest Rate Model   <br/><br/>15.5 Summary    <br/><br/>15.6 Exercises    <br/><br/>15.7 Appendix: Derivations   <br/><br/>16 Dynamic Hedging and Relative Value Trades  <br/><br/>16.1 The Replicating Portfolio  <br/><br/>16.2 Rebalancing   <br/><br/>16.3 Application 1: Relative Value Trades on the Yield Curve   <br/><br/>16.4 Application 2: Hedging Derivative Exposure  <br/><br/>16.5 The Theta - Gamma Relation    <br/><br/>16.6 Summary    <br/><br/>16.7 Exercises    <br/><br/>16.8 Case Study: Relative Value Trades on the Yield Curve   <br/><br/>16.9 Appendix: Derivation of Delta for Call Options  <br/><br/>17 Risk Neutral Pricing and Monte Carlo Simulations  <br/><br/>17.1 Risk Neutral Pricing  <br/><br/>17.2 Feynman-Kac Theorem  <br/><br/>17.3 Application of Risk Neutral Pricing: Monte Carlo Simulations  <br/><br/>17.4 Example: Pricing a Range Floater    <br/><br/>17.5 Hedging with Monte Carlo Simulations   <br/><br/>17.6 Convexity by Monte Carlo Simulations   <br/><br/>17.7 Summary    <br/><br/>17.8 Exercises    <br/><br/>17.9 Case Study: Procter & Gamble / Bankers Trust Leveraged Swap  <br/><br/>18 The Risk and Return of Interest Rate Securities  <br/><br/>18.1 Expected Return and the Market Price Risk   <br/><br/>18.2 Risk Analysis: Risk Natural Monte Carlo Simulations   <br/><br/>18.3 A Macroeconomic Model of the Term Structure  <br/><br/>18.4 Case Analysis: The Risk in the P&G Leveraged Swap   <br/><br/>18.5 Summary   <br/><br/>18.6 Exercises   <br/><br/>18.7 Appendix: Proof of Pricing Formula in Macroeconomic Model   <br/><br/>19 No Arbitrage Models and Standard Derivatives<br/><br/>19.1 No Arbitrage Models   <br/><br/>19.2 The Ho-Lee Model Revisited   <br/><br/>19.3 The Hull-White Model   <br/><br/>19.4 Standard Derivatives under the “Normal” Model   <br/><br/>19.5 The “Lognormal” Model    <br/><br/>19.6 Generalized Affine Term Structure Models   <br/><br/>19.7 Summary   <br/><br/>19.8 Exercises   <br/><br/>19.9 Appendix: Proofs    <br/><br/> <br/><br/>20 The Market Model for Standard Derivatives and Options’ Volatility Dynamics   <br/><br/>20.1 The Black Formula for Caps and Floors Pricing   <br/><br/>20.2 The Black Formula for Swaption Pricing    <br/><br/>20.3 Summary   <br/><br/>20.4 Exercises   <br/><br/>21 Forward Risk Neutral Pricing and The Libor Market Model  <br/><br/>21.1 One Difficulty with Risk Neutral Pricing    <br/><br/>21.2 Change of Numeraire and the Forward Risk Neutral Dynamics    <br/><br/>21.3 The Option Pricing Formula in “Normal” Models     <br/><br/>21.4 The LIBOR Market Model    <br/><br/>21.5 Forward Risk Neutral Pricing and the Black Formula for Swaptions  <br/><br/>21.6 The Heath, Jarrow, and Morton Framework  <br/><br/>21.7 Unnatural Lag and Convexity Adjustment   <br/><br/>21.8 Summary    <br/><br/>21.9 Exercises     <br/><br/>21.10 Appendix: Derivations     <br/><br/>22 Multifactor Models<br/><br/>22.1 Multifactor Ito’s Lemma with Independent Factors    <br/><br/>22.2 No Arbitrage with Independent Factors  <br/><br/>22.3 Correlated Factors    <br/><br/>22.4 The Feynman-Kac Theorem    <br/><br/>22.5 Forward Risk Neutral Pricing    <br/><br/>22.6 The Multifactor LIBOR Market Model  <br/><br/>22.7 Affine and Quadratic Term Structure Models  <br/><br/>22.8 Summary    <br/><br/>22.9 Exercises    <br/><br/>22.10 Appendix   <br/><br/>References   <br/><br/>Index<br/>[https://www.wileyindia.com/fixed-income-securities-valuation-risk-and-risk-management-an-indian-adaptation.html] 
<br/><br/> Fixed Income Securities: Valuation, Risk, and Risk Management, 1st Edition provides a thorough discussion of the world of fixed income securities, the forces affecting their prices, their risks, and the<br/><br/>appropriate risk management practices. This book, however, provides a methodology, and not a "shopping list" of all the possible interest rate securities that have ever been invented. It instead provides examples and methodologies that can be applied quite universally once the basic concepts have been understood.<br/>(https://www.wileyindia.com/fixed-income-securities-valuation-risk-and-risk-management-an-indian-adaptation.html) 
<br/><br/><label>ISBN: </label>9789357463546 
<br/><br/><label>Subjects--Topical Terms: </label><br/>Valuation<br/>Risk management
<br/><br/><label>Dewey Class. No.: </label>332.632  / VER