Fixed-income markets and their derivatives have grown tremendously in the last two decades. Nearly two thirds of the market value of all outstanding securities (including equity) is fixed income securities. To have a comprehensive guide to todayÂ’s ever more complex, diverse, and growing bond and derivatives market, this book provides a current, state of art, integrated and self-contained analysis of the market institutions, theory, and empirical evidence in fixed-income securities and derivative securities.
This book is divided in two parts. Part I consists of 11 chapters. Nine chapters are devoted to the study of fixed-income markets and two are devoted to the development of the theory of term structure and options pricing. Part II is devoted to the study of fixed-income derivatives market. The subject of fixed-income markets and their derivatives is extraordinarily rich in market institutions and theory of valuation. In addition, a great deal of empirical evidence on the behavior of interest rates, inflation, default rates, financial distress, prepayments, etc., further bridges the gap between the richness of the market institutions and the relative sophistication of the theory of valuation. Empirical work has guided the development of valuation. Other topics covered include a comprehensive treatment and analysis of the treasury markets, when-issued markets, interdealer broker markets, auctions, secondary markets, report markets, bond mathematics, arbitrage-free models of term structure, options pricing theory, primary mortgage markets, and much more. This book is a must-have reference for any serious finance student or professional.