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A short course of lectures
«Bond Math»





BOND PRICES AND YIELDS TO MATURITY IN A WORLD OF NO ARBITRAGELIABILITY-DRIVEN INVESTINGDISCOUNT FACTORSORIGINAL ISSUE DISCOUNT BONDSTHE FUTURE: HUURLY INTEREST RATES?BOND PORTFOLIO STATISTICS IN PRACTICEMONEY MARKET IMPLIED FORWARD RATESAdd-On Rate, Actual/360CLASSIC IMMUNIZATION THEORYINTEREST RATE FORWARDS AND FDTDRESPreface to the Second EditionACCURATE IMPLIED FORWARD RATESTWO CASH FLOWS, MANY MONEY MARKET RATESA REAL CORPORATE BONDIMPLIED PROBABILITY OF DEFAULT ON COUPON BONDSTREASURY BILL AUCTION RESULTSBond TaxationACTING ON A RATE VIEWBLOOMBERG YIELO BURATION ANB CONVEXITYLINKER DURATIONCHANGES IN BOND PRICES AND YIELDSDuration and ConvexityHORIZON YIELDS AND HOLDING-PERIOD RATES OF RETURNAdd-On Rate, Actual/370MONEY MARKET ADD-ON RATESA REAL BOND PORTFOLIOINTEREST RATE SWAP DURATIONAdd-On Rate, 30/360Money Market Interest RatesINFLATION-INDEXED BONDS: C LINKERS AND P-LINKERSPrices and Yields on Coupon BondsYIELD CONVEXITYBASIC BOND TAXATIONBond PortfoliosA SOMEWHAT MORE COMPLEX FLOATER VALUATION MODELYIELDS TO MATURITY ON ZERO-COUPON RONDSA SIMPLE FLOATER VALUATION MODELPERIODICITY CONVERSIONSMARKET DISCOUNT BONDSIMMUNIZATION IMPLEMENTATION ISSUESVALUING AN INTEREST RATE SWAPLINKER TAXATIONCALCULATING AND USING IMPLIED SPOT (ZERO-COUPON) RATESMARKET DEMAND AND SUPPLYA HISTORY LESSON ON MONEY MARKET CERTIFICATESMUNICIPAL BONDSTRADITIONAL LIBOR DISCOUNTINGAN INTUITIVE FORWARD CURVECURVE DURATION AND CONVEXITYAdd-On Rate, Actual/365Zero-Coupon BondsMONEY MARKET INTEREST RATESPRICING AN INTEREST RATE SWAPPreface to the First EditionFloaters and linkersYIELD DURATIONINFERRING THE FORWARD CURVETHE RELATIONSHIP BETWEEN YIELD DURATION AND MATURITYBond StrategiesTHOUGHTS ON BOND PORTFOLIO STATISTICSInterest Rate SwapsTHE LIBOR FORWARD CURVE FOR OIS DISCOUNTINGTHE STORY OF TIGRS, CATS, LIONS, AND STRIPSBOND PRICING BETWEEN COUPON DATESBOND PORTFOLIO STATISTICS IN THEORYAN ACTUAL FLOATERCLOSING THOUGHTS: TARGET-DURATION ROND FUNDS ISOME USES OF YIELD-TO-MATURITY STATISTICS IDiscount Rate, Actual/360INTEREST RATES IN TEXTR00K THEORYAN INTEREST RATE SWAP OVERLAY STRATEGYYIELD DURATION AND CONVEXITY RELATIONSHIPSCLASSIC THEORIES OF THE TERM STRUCTURE OF INTEREST RATESFLOATING-RATE NOTES IN GENERALCREDIT SPREADS AND THE IMPLIED PROBABILITY OF DEFAULTA REAL MARKET DISCOUNT CORPORATE RONDPREMIUM BONDSMONEY MARKET DISCOUNT RATESTechnical AppendixCOLLATERALIZED SWAPSOIS DISCOUNTINGSOME OTHER YIELD STATISTICSMORE APPLICATIONS FOR THE IMPLIED SPOT AND FORWARD CURVESYield CurvesHORIZON YIELDS
 
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