INTRODUCTION
ACKNOWLEDGMENTS
PART ONE: The Relative Pricing of Fixed Income Securities with Fixed Cash Flows
CHAPTER 1: Bond Prices, Discount Factors, and Arbitrage
CHAPTER 2: Bond Prices, Spot Rates, and Forward Rates
CHAPTER 3: Yield-to-Maturity
CHAPTER 4: Generalizations and Curve Fitting
PART TWO: Measures of Price Sensitivity and Hedging.
CHAPTER 5: One-Factor Measures of Price Sensitivity
CHAPTER 6: Measures of Price Sensitivity Based on Parallel Yield Shifts
CHAPTER 7: Key Rate and Bucket Exposures
CHAPTER 8: Regression-Based Hedging
PART THREE: Term Structure Models
CHAPTER 9: The Science of Term Structure Models
CHAPTER 10: The Short-Rate Process and the Shape of the Term Structure
CHAPTER 11: The Art of Term Structure Models: Drift
CHAPTER 12: The Art of Term Structure Models: Volatility and Distribution
CHAPTER 13: Multi-Factor Term Structure Models
CHAPTER 14: Trading with Term Structure Models
PART FOUR: Selected Securities
CHAPTER 15: Repo
CHAPTER 16: Forward Contracts
CHAPTER 17: Eurodollar and Fed Funds Futures
CHAPTER 18: Interest Rate Swaps
CHAPTER 19: Fixed Income Options
CHAPTER 20: Note and Bond Futures
CHAPTER 21: Mortgage-Backed Securities
EXERCISES
REFERENCES AND SUGGESTIONS FOR FURTHER READING
INDEX