000			09173nam a2200217 4500
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008			250102b |||||||| |||| 00| 0 eng d
020			_a9789357463546
082			_a332.632 _bVER
100			_aVeronesi, Pietro _920058
245			_aFixed income securities: _bvaluation, risk and risk management
260			_bWiley India Pvt. Ltd. _aNew Delhi _c2023
300			_axxxii, 598 p.
365			_aINR _b999.00
500			_aTable of content: Preface to the Adapted Edition Preface Acknowledgments Part I Fixed Income Markets 1 An Introduction to Fixed Income Markets 1.1 Introduction 1.2 The Government Debt Markets 1.3 The Money Market 1.4 The Repo Market 1.5 The Mortgage-Backed Securities Market and Asset-Backed Securities Market 1.6 The Derivatives Market 1.7 Roadmap of Future Chapters 1.8 Summary 2 Basics of Fixed Income Securities 2.1 Discount Factors 2.2 Interest Rates 2.3 The Term Structure of Interest Rates 2.4 Coupon Bonds 2.5 Floating Rate Bonds 2.6 Summary 2.7 Exercises 2.8 Case Study: Orange County Inverse Floaters 2.9 Appendix: Extracting the Discount Factors Z (0, T) 3 Basics of Interest Rate Risk Management 3.1 The Variation in Interest Rates 3.2 Duration 3.3 Interest Rate Risk Management 3.4 Asset-Liability Management 3.5 Summary 3.6 Exercises 3.7 Case Study: The 1994 Bankruptcy of Orange County 3.8 Case Analysis: The Ex-Ante Risk in Orange County’s Portfolio 3.9 Appendix: Expected Shortfall under the Normal Distribution 4. Basic Refinements in Interest Rate Risk Management 4.1 Convexity 4.2 Slope and Curvature 4.3 Summary 4.4 Exercises 4.5 Case Study: Factor Structure in Orange County’s Portfolio 4.6 Appendix: Principal Component Analysis 5 Interest Rate Derivatives: Forwards and Swaps 5.1 Forward Rates and Forward Discount Factors 5.2 Forward Rate Agreements 5.3 Forward Contracts 5.4 Interest Rate Swaps 5.5 Interest Rate Risk Management using Derivative Securities 5.6 Summary 5.7 Exercises 5.8 Case Study: PiVe Capital Swap Spread Trades 6 Interest Rate Derivatives: Futures and Options 6.1 Interest Rate Futures 6.2 Options 6.3 Summary 6.4 Exercises 6.5 Appendix: Liquidity and the LIBOR Curve 6.6 Appendix: Transitioning from LIBOR to SOFR 7. Inflation, Monetary Policy, and the Federal Funds Rate 7.1 Central Banks 7.2 The RBI and Monetary Policy 7.3 Understanding the Term Structure of Interest Rates 7.4 Coping with Inflation Risk: Treasury Inflation-Protected Securities 7.5 Summary 7.6 Exercises 7.7 Case Study: Monetary Policy during the Subprime Crisis of 2007 – 2008 7.8 Appendix: Derivation of Expected Return Relation 8 Basics of Residential Mortgage-Backed Securities 8.1 Securitization 8.2 Mortgages and the Prepayment Option 8.3 Mortgage-Backed Securities 8.4 Collateralized Mortgage Obligations 8.5 Summary 8.6 Exercises 8.7 Case Study: PiVe Investment Group and the Hedging of Pass- 8.8 Appendix: Effective Convexity Part II Term Structure Models: Trees 9 One Step Binomial Trees 9.1 A one-step interest rate binomial tree 9.2 No Arbitrage on a Binomial Tree 9.3 Derivative Pricing as Present Discounted Values of Future Cash 9.4 Risk Neutral Pricing 9.5 Summary 9.6 Exercises 10 Multi-Step Binomial Trees 10.1 A Two-Step Binomial Tree 10.2 Risk Neutral Pricing 10.3 Matching the Term Structure 10.4 Multi-step Trees 10.5 Pricing and Risk Assessment: The Spot Rate Duration 10.6 Summary 10.7 Exercises 11 Risk Neutral Trees and Derivative Pricing 11.1 Risk Neutral Trees 11.2 Using Risk Neutral Trees 11.3 Implied Volatilities and the Black, Derman, and Toy Model 11.4 Risk Neutral Trees for Futures Prices 11.5 Implied Trees: Final Remarks 11.6 Summary 11.7 Exercises 12 American Options 12.1 Callable Bonds 12.2 American Swaptions 12.3 Mortgages and Residential Mortgage-Backed Securities 12.4 Summary 12.5 Exercises 13 Monte Carlo Simulations on Trees 13.1 Monte Carlo Simulations on a One-step Binomial Tree 13.2 Monte Carlo Simulations on a Two-Step Binomial Tree 13.3 Monte Carlo Simulations on Multi-Step Binomial Trees 13.4 Pricing Path Dependent Options 13.5 Spot Rate Duration by Monte Carlo Simulations 13.6 Pricing Residential Mortgage-Backed Securities 13.7 Summary 13.8 Exercises Part III Term Structure Models: Continuous Time 14 Interest Rate Models in Continuous Time 14.1 Brownian Motions 14.2 Differential Equations 14.3 Continuous Time Stochastic Processes 14.4 Ito’s Lemma 14.5 Illustrative Examples 14.6 Summary 14.7 Exercises 14.8 Appendix: Rules of Stochastic Calculus 15 No Arbitrage and The Pricing of Interest Rate Securities 15.1 Bond Pricing with Deterministic Interest Rate 15.2 Interest Rate Security Pricing in the Vasicek Model 15.3 Derivative Security Pricing 15.4 No Arbitrage Pricing in a General Interest Rate Model 15.5 Summary 15.6 Exercises 15.7 Appendix: Derivations 16 Dynamic Hedging and Relative Value Trades 16.1 The Replicating Portfolio 16.2 Rebalancing 16.3 Application 1: Relative Value Trades on the Yield Curve 16.4 Application 2: Hedging Derivative Exposure 16.5 The Theta - Gamma Relation 16.6 Summary 16.7 Exercises 16.8 Case Study: Relative Value Trades on the Yield Curve 16.9 Appendix: Derivation of Delta for Call Options 17 Risk Neutral Pricing and Monte Carlo Simulations 17.1 Risk Neutral Pricing 17.2 Feynman-Kac Theorem 17.3 Application of Risk Neutral Pricing: Monte Carlo Simulations 17.4 Example: Pricing a Range Floater 17.5 Hedging with Monte Carlo Simulations 17.6 Convexity by Monte Carlo Simulations 17.7 Summary 17.8 Exercises 17.9 Case Study: Procter & Gamble / Bankers Trust Leveraged Swap 18 The Risk and Return of Interest Rate Securities 18.1 Expected Return and the Market Price Risk 18.2 Risk Analysis: Risk Natural Monte Carlo Simulations 18.3 A Macroeconomic Model of the Term Structure 18.4 Case Analysis: The Risk in the P&G Leveraged Swap 18.5 Summary 18.6 Exercises 18.7 Appendix: Proof of Pricing Formula in Macroeconomic Model 19 No Arbitrage Models and Standard Derivatives 19.1 No Arbitrage Models 19.2 The Ho-Lee Model Revisited 19.3 The Hull-White Model 19.4 Standard Derivatives under the “Normal” Model 19.5 The “Lognormal” Model 19.6 Generalized Affine Term Structure Models 19.7 Summary 19.8 Exercises 19.9 Appendix: Proofs 20 The Market Model for Standard Derivatives and Options’ Volatility Dynamics 20.1 The Black Formula for Caps and Floors Pricing 20.2 The Black Formula for Swaption Pricing 20.3 Summary 20.4 Exercises 21 Forward Risk Neutral Pricing and The Libor Market Model 21.1 One Difficulty with Risk Neutral Pricing 21.2 Change of Numeraire and the Forward Risk Neutral Dynamics 21.3 The Option Pricing Formula in “Normal” Models 21.4 The LIBOR Market Model 21.5 Forward Risk Neutral Pricing and the Black Formula for Swaptions 21.6 The Heath, Jarrow, and Morton Framework 21.7 Unnatural Lag and Convexity Adjustment 21.8 Summary 21.9 Exercises 21.10 Appendix: Derivations 22 Multifactor Models 22.1 Multifactor Ito’s Lemma with Independent Factors 22.2 No Arbitrage with Independent Factors 22.3 Correlated Factors 22.4 The Feynman-Kac Theorem 22.5 Forward Risk Neutral Pricing 22.6 The Multifactor LIBOR Market Model 22.7 Affine and Quadratic Term Structure Models 22.8 Summary 22.9 Exercises 22.10 Appendix References Index [https://www.wileyindia.com/fixed-income-securities-valuation-risk-and-risk-management-an-indian-adaptation.html]
520			_aFixed 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 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. (https://www.wileyindia.com/fixed-income-securities-valuation-risk-and-risk-management-an-indian-adaptation.html)
650			_aValuation
650			_aRisk management
700			_aParameswaran, Sunil _91167
942			_cBK _2ddc
999			_c8093 _d8093