Capital Market Instruments: Analysis and Valuation Book

List of Figures

List of Tables

Pt. I Introduction 1

1 Introduction to Financial Market Instruments 3

2 Market-Determined Interest Rates, and the Time Value of Money 11

Pt. II Debt Capital Market Cash Instruments 23

3 Money Market Instruments and Foreign Exchange 25

4 Fixed Income Securities I: The Bond Markets 46

5 Fixed Income Securities II: Interest-Rate Risk 123

6 Fixed Income Securities III: Credit Analysis, Bond Spreads and Relative Value Measurement 139

7 Interest Rate Modelling 159

8 Fitting the Yield Curve 176

9 B-Spline Modelling and Fitting the Term Structure 186

10 Inflation-Indexed Bonds and Derivatives 203

11 Term Structure Construction Using QuantLib 224

Pt. III Structured Financial Products 235

12 An Introduction to Asset-Backed Securities and Securitisation 237

13 Mortgage-Backed Securities 254

14 Collateralised Debt Obligations 273

Pt. IV Derivative Instruments 293

15 Short-Term Interest-Rate Derivatives 295

16 Swaps 313

17 Options I 341

18 Options II 351

19 Options III 370

20 Credit Derivatives 383

Pt. V Equity Capital Markets 427

21 Introduction to Equity Instrument Analysis 429

22 Introduction to Financial Ratio Analysis 440

Pt. VI Risk Measurement and Value-at-Risk 455

23 Value-at-Risk and Credit VaR 457

Pt. VII The 2007-9 Financial Market Crisis 489

24 Origins and Impact of a Financial Crisis 491

Index 533