Fr. 90.00

Treasury Securities and Derivatives

English · Hardback

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Description

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Treasury securities represent the largest sector of interest rate markets. This book will provide securities newcomers with the tools they need to get up to speed and seasoned professionals with a valuable reference source. The book covers every aspect of the market, including: the basics, valuation techniques, risk analysis, and utilizing derivatives to control interest rate risk.

List of contents










Acknowledgements.

1. U.S. Treasury Securities.

2. Valuation of Treasury Securities.

3. Yield and Return Calculations.

4. The Term Structure of Interest Rates.

5. Spot Rates, Forward Rates, and Theories of the Term Structure of Interest Rates.

6. Measuring Level Risk.

7. Measuring Yield Curve Risk.

8. Measuring Historical Yield Volatility and Forecasting Yield Volatility.

9. Repurchase Agreements.

10. Tax Treatment.

11. Cash Market Trading Strategies.

12. Treasury Futures Contracts.

13. Treasury Options.

14. Valuation of Treasury Futures and Options.

15. Controlling Interest Rate Level Risk with Treasury Futures and Options.

16. Basis Trading with Futures and Volatility Trades with Options.

Index.

About the author










Frank J. Fabozzi is a financial consultant, the editor of the Journal of Portfolio Management, and an Adjunct Professor of Finance at Yale University's School of Management.

Product details

Authors Fabozzi, Frank J Fabozzi, Frank J (School of Management Yale University) Fabozzi, Frank J. Fabozzi, Fabozzi Frank J.
Publisher Wiley
 
Languages English
Product format Hardback
Released 31.12.1997
 
EAN 9781883249236
ISBN 978-1-883249-23-6
No. of pages 322
Dimensions 162 mm x 246 mm x 24 mm
Weight 612 g
Series Frank J. Fabozzi
Frank J. Fabozzi Series
Subjects Social sciences, law, business > Business > Business administration

BUSINESS & ECONOMICS / Accounting / General, BUSINESS & ECONOMICS / Finance / General, Finance & accounting, Finance and accounting

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