Bond Evaluation, Selection, and Management, Second Edition + Website -- Contents -- Preface -- Acknowledgments -- Part One: Bond Evaluation -- Chapter 1: Overview of the Financial System -- 1.1 REAL AND FINANCIAL ASSETS -- 1.2 TYPES OF DEBT CLAIMS -- 1.3 FINANCIAL MARKET -- 1.4 TYPES OF FINANCIAL MARKETS -- 1.5 REGULATIONS -- 1.6 EFFICIENT FINANCIAL MARKETS -- 1.7 CHARACTERISTICS OF ASSETS -- 1.8 CONCLUSION -- KEY TERMS -- PROBLEMS AND QUESTIONS -- WEB EXERCISES -- NOTES -- SELECTED REFERENCES -- Chapter 2: Bond Value and Return -- 2.1 INTRODUCTION -- 2.2 BOND VALUATION -- 2.3 THE YIELD TO MATURITY AND OTHER RATES OF RETURN MEASURES -- 2.4 RATES ON ZERO-COUPON BONDS -- 2.5 TOTAL RETURN -- 2.6 SPOT RATES AND EQUILIBRIUM PRICES -- 2.7 GEOMETRIC MEAN -- 2.8 CONCLUSION -- KEY TERMS -- PROBLEMS AND QUESTIONS -- WEB EXERCISES -- NOTES -- SELECTED REFERENCES -- Chapter 3: The Level and Structure of Interest Rates -- 3.1 INTRODUCTION -- 3.2 LEVEL OF INTEREST RATES -- 3.3 THE STRUCTURE OF INTEREST RATES -- 3.4 CONCLUSION -- KEY TERMS -- PROBLEMS AND QUESTIONS -- NOTES -- SELECTED REFERENCES -- Chapter 4: The Term Structure of Interest Rates -- 4.1 INTRODUCTION -- 4.2 MARKET SEGMENTATION THEORY -- 4.3 PREFERRED HABITAT THEORY -- 4.4 PURE EXPECTATIONS THEORY -- 4.5 LIQUIDITY PREMIUM THEORY -- 4.6 SUMMARY OF TERM STRUCTURE THEORIES -- 4.7 CONSTRUCTING THE BENCHMARK YIELD CURVE -- 4.8 CONCLUSION -- KEY TERMS -- PROBLEMS AND QUESTIONS -- WEB EXERCISES -- NOTES -- SELECTED REFERENCES -- Chapter 5: Bond Risk -- 5.1 INTRODUCTION -- 5.2 DEFAULT RISK -- 5.3 CALL RISK -- 5.4 MARKET RISK -- 5.5 DURATION AND CONVEXITY -- 5.6 CONCLUSION -- KEY TERMS -- PROBLEMS AND QUESTIONS -- WEB EXERCISES -- NOTES -- SELECTED REFERENCES -- Part Two: Debt Markets -- Chapter 6: Corporate Debt Securities -- 6.1 INTRODUCTION -- 6.2 CORPORATE BONDS -- 6.3 BANKRUPTCY.

6.4 THE MARKETS FOR CORPORATE BONDS -- 6.5 MEDIUM-TERM NOTES -- 6.6 COMMERCIAL PAPER -- 6.7 CONCLUSION -- KEY TERMS -- PROBLEMS AND QUESTIONS -- WEB EXERCISES -- NOTES -- SELECTED REFERENCES -- Chapter 7: Treasury and Agency Securities -- 7.1 INTRODUCTION -- 7.2 TREASURY INSTRUMENTS -- 7.3 REPURCHASE AGREEMENTS -- 7.4 FEDERAL AGENCY SECURITIES -- 7.5 CONCLUSION -- KEY TERMS -- PROBLEMS AND QUESTIONS -- WEB EXERCISES -- NOTES -- SELECTED REFERENCES -- Chapter 8: Municipal Securities -- 8.1 INTRODUCTION -- 8.2 MUNICIPAL FINANCING -- 8.3 TAX-EXEMPT STATUS -- 8.4 TYPES OF MUNICIPALS -- 8.5 SPECIAL FEATURES OF MUNICIPALS -- 8.6 CREDIT RISK, QUALITY RATINGS, AND CREDIT SPREADS -- 8.7 MUNICIPAL BOND MARKETS -- 8.8 CONCLUSION -- KEY TERMS -- PROBLEMS AND QUESTIONS -- WEB EXERCISES -- NOTES -- SELECTED REFERENCES -- Chapter 9: Intermediary Debt Securities -- 9.1 INTRODUCTION -- 9.2 BANK SECURITIES -- 9.3 BANKER'S ACCEPTANCES -- 9.4 MORTGAGE-BACKED AND ASSET-BACKED SECURITIES -- 9.5 INVESTMENT FUNDS -- 9.6 INSURANCE COMPANIES AND PENSION FUNDS -- 9.7 CONCLUSION -- KEY TERMS -- PROBLEMS AND QUESTIONS -- WEB EXERCISES -- NOTES -- SELECTED REFERENCES -- Chapter 10: International Debt Securities -- 10.1 INTRODUCTION -- 10.2 INTERNATIONAL DEBT SECURITIES -- 10.3 THE FOREIGN BOND MARKET -- 10.4 THE EUROBOND MARKET -- 10.5 NON-U.S. DOMESTIC BONDS -- 10.6 EMERGING MARKET DEBT -- 10.7 GLOBAL FIXED-INCOME MUTUAL FUNDS AND ETFs -- 10.8 FOREIGN BOND RISK AND SOVEREIGN BOND RATINGS -- 10.9 EUROCURRENCY MARKET -- 10.10 THE FOREIGN CURRENCY MARKET AND EXCHANGE-RATE RISK -- 10.11 CONCLUSION -- KEY TERMS -- PROBLEMS AND QUESTIONS -- WEB EXERCISES -- NOTES -- SELECTED REFERENCES -- Chapter 11: Residential Mortgages and Mortgage-Backed Securities -- 11.1 INTRODUCTION -- 11.2 RESIDENTIAL MORTGAGE LOANS -- 11.3 MORTGAGE PORTFOLIO -- 11.4 MORTGAGE-BACKED SECURITIES.

11.5 FEATURES OF MORTGAGE-BACKED SECURITIES -- 11.6 COLLATERALIZED MORTGAGE OBLIGATIONS AND STRIPS -- 11.7 EVALUATING MORTGAGE-BACKED SECURITIES -- 11.8 CONCLUSION -- KEY TERMS -- PROBLEMS AND QUESTIONS -- WEB EXERCISES -- NOTES -- SELECTED REFERENCES -- Chapter 12: Nonagency Residential MBSs, Commercial MBSs, and Other Asset-Backed Securities -- 12.1 INTRODUCTION -- 12.2 NONAGENCY MORTGAGE-BACKED SECURITIES -- 12.3 COMMERCIAL MORTGAGE-BACKED SECURITIES -- 12.4 ASSET-BACKED SECURITIES -- 12.5 COLLATERALIZED DEBT OBLIGATIONS -- 12.6 CONCLUSION -- KEY TERMS -- PROBLEMS AND QUESTIONS -- WEB EXERCISES -- NOTES -- SELECTED REFERENCES -- Part Three: Bond Strategies and the Evaluation of Bonds with Embedded Options -- Chapter 13: Bond Investment Strategies -- 13.1 INTRODUCTION -- 13.2 ACTIVE INVESTMENT STRATEGIES -- 13.3 PASSIVE BOND MANAGEMENT STRATEGIES -- 13.4 BOND IMMUNIZATION STRATEGIES -- 13.5 CONCLUSION -- KEY TERMS -- PROBLEMS AND QUESTIONS -- WEB EXERCISES -- NOTES -- SELECTED REFERENCES -- Chapter 14: Binomial Interest Rate Trees and the Valuation of Bonds with Embedded Options -- 14.1 INTRODUCTION -- 14.2 BINOMIAL INTEREST RATE MODEL -- 14.3 VALUING BONDS WITH OTHER OPTION FEATURES -- 14.4 CONVERTIBLE BOND -- 14.5 VALUING MORTGAGE-BACKED SECURITIES -- 14.6 CONCLUSION -- KEY TERMS -- PROBLEMS AND QUESTIONS -- WEB EXERCISES -- NOTES -- SELECTED REFERENCES -- Chapter 15: Estimating the Binomial Tree -- 15.1 INTRODUCTION -- 15.2 SUBDIVIDING THE BINOMIAL TREE -- 15.3 ESTIMATING THE BINOMIAL TREE -- 15.4 u AND d ESTIMATION APPROACH -- 15.5 CALIBRATION MODEL -- 15.6 OPTION-ADJUSTED SPREAD -- 15.7 DURATION AND CONVEXITY -- 15.8 A NOTE ON THE BLACK-SCHOLES OPTION PRICING MODEL -- 15.9 CONCLUSION -- KEY TERMS -- PROBLEMS AND QUESTIONS -- WEB EXERCISES -- NOTES -- SELECTED REFERENCES -- Part Four: Debt Derivatives: Futures and Options.

Chapter 16: Futures Contracts on Debt Securities: Fundamentals -- 16.1 INTRODUCTION -- 16.2 THE MARKET AND CHARACTERISTICS OF FUTURES ON DEBT SECURITIES -- 16.3 THE NATURE OF FUTURES TRADING AND THE ROLE OF THE CLEARINGHOUSE AND MARGINS -- 16.4 FUTURES HEDGING -- 16.5 FUTURES PRICING -- 16.6 CONCLUSION -- KEY TERMS -- PROBLEMS AND QUESTIONS -- WEB EXERCISES -- NOTES -- SELECTED REFERENCES -- Chapter 17: Interest Rate Options Contracts: Fundamentals -- 17.1 INTRODUCTION -- 17.2 OPTIONS TERMINOLOGY -- 17.3 MARKETS AND TYPES OF INTEREST RATE OPTIONS -- 17.4 OPTION POSITIONS -- 17.5 OPTIONS TRADING-MICROSTRUCTURE -- 17.6 OPTION PRICE RELATIONSHIPS -- 17.7 CONCLUSION -- KEY TERMS -- PROBLEMS AND QUESTIONS -- WEB EXERCISES -- NOTES -- SELECTED REFERENCES -- Chapter 18: Managing Fixed-Income Positions with Interest Rate Derivatives -- 18.1 INTRODUCTION -- 18.2 HEDGING FIXED-INCOME POSITIONS -- 18.3 CROSS HEDGING -- 18.4 SPECULATING WITH INTEREST RATE DERIVATIVES -- 18.5 SYNTHETIC DEBT AND INVESTMENT POSITIONS -- 18.6 USING OPTIONS TO SET A CAP OR FLOOR ON A CASH FLOW -- 18.7 CONCLUSION -- KEY TERMS -- PROBLEMS AND QUESTIONS -- WEB EXERCISES -- NOTE -- SELECTED REFERENCES -- Chapter 19: Managing Fixed-Income Positions with OTC Derivatives -- 19.1 INTRODUCTION -- 19.2 HEDGING WITH OTC DERIVATIVES -- 19.3 HEDGING A SERIES OF CASH FLOWS: OTC CAPS AND FLOORS -- 19.4 FINANCING CAPS AND FLOORS: COLLARS AND CORRIDORS -- 19.5 OTHER INTEREST RATE PRODUCTS -- 19.6 HEDGING CURRENCY POSITIONS WITH FOREIGN CURRENCY OPTIONS -- 19.7 CONCLUSION -- KEY TERMS -- PROBLEMS AND QUESTIONS -- NOTES -- SELECTED REFERENCES -- Part Five: Swaps -- Chapter 20: Interest Rate Swaps -- 20.1 INTRODUCTION -- 20.2 GENERIC INTEREST RATE SWAPS -- 20.3 SWAP MARKET -- 20.4 SWAP VALUATION -- 20.5 COMPARATIVE ADVANTAGE AND THE HIDDEN OPTION -- 20.6 SWAPS APPLICATIONS -- 20.7 CREDIT RISK.

20.8 CONCLUSION -- KEY TERMS -- PROBLEMS AND QUESTIONS -- WEB EXERCISES -- NOTES -- SELECTED REFERENCES -- Chapter 21: Swap Derivatives: Forward Swaps and Swaptions -- 21.1 INTRODUCTION -- 21.2 FORWARD SWAPS -- 21.3 SWAPTIONS -- 21.4 CANCELABLE AND EXTENDABLE SWAPS -- 21.5 NONGENERIC SWAPS -- 21.6 CONCLUSION -- KEY TERMS -- PROBLEMS AND QUESTIONS -- NOTES -- SELECTED REFERENCES -- Chapter 22: Currency and Credit Default Swaps -- 22.1 INTRODUCTION -- 22.2 CURRENCY SWAPS -- 22.3 CREDIT DEFAULT SWAPS -- 22.4 CONCLUSION -- KEY TERMS -- PROBLEMS AND QUESTIONS -- WEB EXERCISES -- NOTES -- SELECTED REFERENCES -- Appendices -- Appendix A: Uses of Exponents and Logarithms -- A.1 EXPONENTIAL FUNCTIONS -- A.2 LOGARITHMS -- A.3 RULES OF LOGARITHMS -- A.4 USES OF LOGARITHMS -- SELECTED REFERENCE -- Appendix B: Mathematical Statistical Concepts -- Appendix C: Primer on Return, Present Value, and Future Value -- C.1 RATE OF RETURN -- C.2 FUTURE AND PRESENT VALUES -- Appendix D: Web Site Information and Examples -- D.1 YAHOO! BOND SEARCH AND VALUE AND YIELD CALCULATION ILLUSTRATION -- D.2 FINRA BOND SEARCH -- D.3 INVESTINGINBONDS.COM BOND SEARCH -- D.4 EQUILIBRIUM BOND PRICE AND SPOT RATES -- Appendix E: Global Investments and Exchange Rates -- WEB EXERCISE -- Appendix F: Arbitrage Features of the Calibration Model -- Appendix G: T-Bond Delivery Procedure and Equilibrium Pricing -- G.1 CHEAPEST-TO-DELIVER BOND -- G.2 WILD-CARD PLAY -- G.3 EQUILIBRIUM T-BOND FUTURES PRICE -- G.4 ARBITRAGE -- Appendix H: Pricing Interest Rate Options with a Binomial Interest Rate Tree -- H.1 VALUING T-BILL OPTIONS WITH A BINOMIAL TREE -- H.2 VALUING A CAPLET AND FLOORLET WITH A BINOMIAL TREE -- H.3 VALUING T-BOND OPTIONS WITH A BINOMIAL TREE -- NOTE -- Appendix I: Pricing Interest Rate Options with the Black Futures Option Model -- I.1 BLACK FUTURES MODEL -- PROBLEMS AND QUESTIONS.

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