UID:
almafu_9959328726502883
Format:
1 online resource
ISBN:
9781118709184
,
1118709187
,
9781118709269
,
1118709268
,
9781118709207
,
1118709209
,
1118709195
,
9781118709191
,
9781118709283
,
1118709284
Series Statement:
Wiley Handbooks in Financial Engineering and Econometrics
Uniform Title:
Handbook of fixed-income securities (Wiley)
Note:
Title Page -- Copyright -- Table of Contents -- Dedication -- Notes on Contributors -- Preface -- The Handbook -- Part I: Fixed Income Markets -- 1 Fixed Income Markets: An Introduction -- 1.1 Introduction -- 1.2 U.S. Treasury Bills, Notes, and Bonds -- 1.3 Interest Rates, Yields, and Discounting -- 1.4 The Term Structure of Interest Rates -- 1.5 Pricing Coupon Notes and Bonds -- 1.6 Inflation-Protected Securities -- 1.7 Floating Rate Notes -- 1.8 Conclusion -- References -- 2 Money Market Instruments -- 2.1 Overview of the Money Market -- 2.2 U.S. Treasury Bills -- 2.3 Commercial Paper -- 2.4 Discount Window -- 2.5 Eurodollars -- 2.6 Repurchase Agreements -- 2.7 Interbank Loans -- 2.8 Conclusion -- References -- 3 Inflation-Adjusted Bonds and the Inflation Risk Premium -- 3.1 Inflation-Indexed Bonds -- 3.2 Inflation Derivatives -- 3.3 No-Arbitrage Pricing -- 3.4 Inflation Risk Premium -- 3.5 A Look at the Data -- 3.6 Conclusion -- 3.7 Appendix -- 3.8 Data Appendix -- References -- 4 Mortgage-Related Securities (MRSs) -- 4.1 Purpose of the Chapter -- 4.2 Introduction To MRSs -- 4.3 Valuation Overview -- 4.4 Analyzing an MRS -- 4.5 Summary -- References -- Part II: Monetary Policy and Fixed Income Markets -- 5 Bond Markets and Monetary Policy -- 5.1 Introduction -- 5.2 High-Frequency Identification of Monetary Policy Shocks -- 5.3 Target Versus Path Shocks -- 5.4 Conclusions -- Acknowledgments -- References -- 6 Bond Markets and Unconventional Monetary Policy -- 6.1 Introduction -- 6.2 Unconventional Policies: The Fed, ECB, And BOE -- 6.3 Unconventional Policies: A Theoretical Framework -- 6.4 Unconventional Policies: The Empirical Evidence -- 6.5 Conclusions -- Acknowledgments -- References -- Part III: Interest Rate Risk Management -- 7 Interest Rate Risk Management and Asset Liability Management -- 7.1 Introduction -- 7.2 Literature Review.
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7.3 Interest Rate Risk Measures -- 7.4 Application to Asset Liability Management -- 7.5 Backtesting ALM Strategies -- 7.6 Liability Hedging and Portfolio Construction -- 7.7 Conclusions -- 7.8 Appendix: The Implementation of Principal Component Analysis -- References -- 8 Optimal Asset Allocation in Asset Liability Management -- 8.1 Introduction -- 8.2 Yield Smoothing -- 8.3 ALM Problem -- 8.4 Method -- 8.5 Single-Period Portfolio Choice -- 8.6 Dynamic Portfolio Choice -- 8.7 Conclusion -- 8.8 Appendix: Return Model Parameter Estimates -- 8.9 APPENDIX: BENCHMARK WITHOUT LIABILITIES -- Acknowledgments -- References -- Part IV: The Predictability of Bond Returns -- 9 International Bond Risk Premia -- 9.1 Introduction -- 9.2 Literature Review -- 9.3 Notation and International Bond Market Data -- 9.4 Unconditional Risk Premia -- 9.5 Conditional Risk Premia -- 9.6 Understanding Bond Risk Premia -- 9.7 Conclusion and Outlook -- Acknowledgments -- References -- 10 Return Predictability in the Treasury Market: Real Rates, Inflation, and Liquidity -- 10.1 Introduction -- 10.2 Brief Literature Review -- 10.3 Bond Data and Definitions -- 10.4 Estimating the Liquidity Differential Between Inflation-Indexed and Nominal Bond Yields -- 10.5 Bond Excess Return Predictability -- 10.6 Conclusion -- Acknowledgments -- References -- 11 U.S. Treasury Market: The High-Frequency Evidence -- 11.1 Introduction -- 11.2 The U.S. Treasury Markets During the Financial Crisis -- 11.3 The Reaction of Bond Prices and Interest Rates to Macroeconomic News -- 11.4 Market-Microstructure Effects -- 11.5 Bond Risk Premia -- 11.6 The Impact of High-Frequency Trading -- 11.7 Conclusions -- References -- Part V: Advanced Topics on Term Structure Models and Their Estimation -- 12 Structural Affine Models for Yield Curve Modeling -- 12.1 Purpose and Structure of This Chapter.
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12.2 Structural Models -- 12.3 A Simple Taxonomy -- 12.4 Why do we Need no-Arbitrage Models After All? -- 12.5 Affine Models and the Drivers of The Yield Curve -- 12.6 Introducing No-Arbitrage -- 12.7 Which Variables should one use? -- 12.8 Risk Premia Implied by Affine Models with Constant Market Price of Risk -- 12.9 Testable Predictions: Constant Market Price of Risk -- 12.10 What do we know about Excess Returns? -- 12.11 Understanding the Empirical Results on term Premia -- 12.12 Enriching the First-Generation Affine Models -- 12.13 Latent Variables: the D'Amico, kim, and wei Model -- 12.14 From Linear Regressors to Affine Models: the acm Approach -- 12.15 Affine Models using Principal Components as Factors -- 12.16 The Predictions from the "Modern" Models -- 12.17 Conclusions -- References -- 13 The Econometrics of Fixed-Income Markets -- 13.1 Introduction -- 13.2 Different types of term Structure Models -- 13.3 Parametric Estimation Methods -- 13.4 Maximum Likelihood Estimation -- 13.5 Constructing the Likelihood Function: Expansion of the Transition Density -- 13.6 Concluding Remarks -- Acknowledgments -- References -- 14 Recent Advances in Old Fixed-Income Topics: Liquidity, Learning, and the Lower Bound -- 14.1 Introduction -- 14.2 Liquidity -- 14.3 Learning -- 14.4 Lower Bound -- 14.5 Conclusion -- Acknowledgments -- 14.6 Appendix: Moments of Truncated Bivariate Distribution -- References -- 15 The Economics of the Comovement of Stocks and Bonds -- 15.1 Introduction -- 15.2 A Brief Literature Survey -- 15.3 The Stock-Bond Covariance and Learning about Fundamentals -- 15.4 Beliefs from Surveys and from the Model -- 15.5 Survey and Model Beliefs and the Stock-Bond Covariance -- 15.6 Some International Evidence -- 15.7 Summary -- Acknowledgments -- References -- Part VI: Derivatives: Markets and Pricing.
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16 Interest Rate Derivatives Products and Recent Market Activity in the New Regulatory Framework -- 16.1 Introduction -- 16.2 Background on the New Derivatives Regulatory Framework -- 16.3 Exchange-Traded Derivatives -- 16.4 Noncleared Swaps -- 16.5 Cleared Swaps -- 16.6 Comparative Market Activity Across Execution Venues -- 16.7 Liquidity Fragmentation in Nondollar Swaps -- 16.8 Prospects for the Future -- 16.9 Appendix: The New Regulatory Framework for Interest Rate Derivatives in the United States and European Union -- Acknowledgments -- References -- 17 Risk-Neutral Pricing: Trees -- 17.1 Introduction -- 17.2 Binomial Trees -- 17.3 Risk-Neutral Pricing on Multistep Trees -- 17.4 From Diffusion Models to Binomial Trees -- 17.5 Trinomial Trees -- References -- 18 Discounting and Derivative Pricing Before and After the Financial Crisis: An Introduction -- 18.1 Introduction -- 18.2 Forward Rate Agreements (FRAs) -- 18.3 Overnight Index Swaps (OISs) -- 18.4 Libor-Based Swaps -- 18.5 The Crisis and The Double-Curve Pricing of Libor-Based Swaps -- 18.6 The Pricing Of Libor-Based Interest Rate Options -- 18.7 Conclusions -- References -- Part VII: Advanced Topics in Derivatives Pricing -- 19 Risk-Neutral Pricing: Monte Carlo Simulations -- 19.1 Introduction -- 19.2 Risk-Neutral Pricing -- 19.3 Risk-Neutral Pricing: Monte Carlo Simulations -- 19.4 Valuation by Monte Carlo Simulation -- 19.5 Monte Carlo Simulations in Multifactor Models -- 19.6 Conclusion -- References -- 20 Interest Rate Derivatives and Volatility -- 20.1 Introduction -- 20.2 Markets and the Institutional Context -- 20.3 Dissecting the instruments -- 20.4 Evaluation Paradigms -- 20.5 Pricing and Trading Volatility -- 20.6 Conclusions -- 20.7 Appendix -- Acknowledgments -- References -- 21 Nonlinear Valuation under Margining and Funding Costs with Residual Credit Risk: A Unified Approach.
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21.1 Introduction -- 21.2 Collateralized Credit and Funding Valuation Adjustments -- 21.3 General Pricing Equation Under Credit, Collateral, and Funding -- 21.4 Numerical Results: Extending the Black-Scholes Analysis -- 21.5 Extensions -- 21.6 Conclusions: Bilateral Prices or Nonlinear Values? -- References -- Part VIII: Corporate and Sovereign Bonds -- 22 Corporate Bonds -- 22.1 Introduction -- 22.2 Market and Data -- 22.3 A Very Simple Model -- 22.4 Structural Models -- 22.5 Reduced-form Models -- 22.6 Risk Premia in Intensity Models -- 22.7 Dealing with Portfolios -- 22.8 Illiquidity as a Source Of Spreads -- 22.9 Some Additional Readings -- 22.10 Conclusion -- References -- 23 Sovereign Credit Risk -- 23.1 Introduction -- 23.2 Literature Review -- 23.3 Modeling Sovereign Default -- 23.4 Credit Risk Premia -- 23.5 Estimating Intensity Models -- 23.6 Application to Emerging Markets -- 23.7 Application to the European Debt Crisis -- 23.8 Conclusion -- 23.9 Appendix: No Arbitrage Pricing -- References -- Index -- End User License Agreement.
Additional Edition:
Print version: Hoboken, New Jersey : John Wiley & Sons, Inc., [2016] ISBN 9781118709191
Language:
English
Keywords:
Electronic books.
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Electronic books.
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Electronic books.
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Electronic books.
URL:
https://onlinelibrary.wiley.com/doi/book/10.1002/9781118709207
URL:
https://onlinelibrary.wiley.com/doi/book/10.1002/9781118709207
URL:
https://onlinelibrary.wiley.com/doi/book/10.1002/9781118709207
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