Includes bibliographical references and index.

Preface ix List of Acronyms xi Chapter 0 Overview 1 Chapter 1 Prices, Discount Factors, and Arbitrage 49 Chapter 2 Swap, Spot, and Forward Rates 65 Chapter 3 Returns, Yields, Spreads, and P&L Attribution 79 Chapter 4 DV01, Duration, and Convexity 103 Chapter 5 Key-Rate, Partial, and Forward-Bucket ’01s and Durations 135 Chapter 6 Regression Hedging and Principal Component Analysis 153 Chapter 7 Arbitrage Pricing with Term Structure Models 177 Chapter 8 Expectations, Risk Premium, Convexity, and the Shape of the Term Structure 197 Chapter 9 The Vasicek and Gauss+ Models 205 Chapter 10 Repurchase Agreements and Financing 223 Chapter 11 Note and Bond Futures 249 Chapter 12 Short-Term Rates and Their Derivatives 289 Chapter 13 Interest Rate Swaps 319 Chapter 14 Corporate Debt and Credit Default Swaps 347 Chapter 15 Mortgages and Mortgage-Backed Securities 395 Chapter 16 Fixed Income Options 433 Appendix to Chapter 1 Prices, Discount Factors, and Arbitrage 453 Appendix to Chapter 2 Swap, Spot, and Forward Rates 457 Appendix to Chapter 3 Returns, Yields, Spreads, and P&L Attribution 463 Appendix to Chapter 4 DV01, Duration, and Convexity 467 Appendix to Chapter 6 Regression Hedging and Principal Component Analysis 469 Appendix to Chapter 8 Expectations, Risk Premium, Convexity and the Shape of the Term Structure 477 Appendix to Chapter 9 The Vasicek and Gauss+ Models 479 Appendix to Chapter 11 Note and Bond Futures 491 Appendix to Chapter 12 Short-Term Rates and Their Derivatives 497 Appendix to Chapter 13 Interest Rate Swaps 501 Appendix to Chapter 14 Corporate Debt and Credit Default Swaps 505 Appendix to Chapter 15 Mortgages and Mortgage-Backed Securities 509 Appendix to Chapter 16 Fixed Income Options 513 About the Website 527 Index 529

"Fixed-income securities traditionally promised fixed cash flows (like bonds), but there have been many newly-created fixed income securities for which the promised cash flows depend on the level of interest rates, making them hard to value. This revised book covers the most advanced thinking in the field and comprehensively shows how to value the complete universe of fixed income securities. Included are all the latest fixed income securities valuation models and techniques, and their applications in real world situations. The fourth edition will include a completely new intro chapter on global markets that reflects the numerous changes since the Crash of 2008, and updates throughout the rest of the book"--