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Valuation of Fixed Income Securities and Derivatives
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Table of Contents

Preface.

Index of Advertisers.

1. Fundamental Valuation Principles.

2. Spot Rates and Their Role in Valuation.

3. Forward Rates and Term Structure Theories.

4. Measuring Price Sensitivity to Interest Rate Changes.

5. Overview of the Valuation of Bonds with Embedded Options.

6. Binomial Model I: Valuing Callable Bonds.

7. Binomial Model II: Valuing Other Bond Structures.

8. Monte Carlo Model for Valuing Mortgage-Backed Securities.

9. Valuation of Asset-Backed Securities.

10. Valuation of Inverse Floaters.

11. Valuation of Convertible Securities.

12. Valuation of Interest Rate Futures Contracts.

13. Valuation of Options on Fixed Income Instruments and Interest Rate Futures.

14. Valuation of Interest Rate Swaps.

15. Valuation of Interest Rate Caps and Floors.

16. Estimating Yield Volatility.

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.

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