The deep understanding of the forces that affect the valuation, risk and return of fixed income
securities and their derivatives has never been so important. As the world of fixed income …

We provide detailed descriptions, including over 550 mathematical formulas, for over 150
trading strategies across a host of asset classes (and trading styles). This includes stocks …

Derivatives such as futures contracts on Treasury bonds (T-bonds) anci notes are tailorniade
for hedging interest-rate risk, and in priticiple, computation of an optimal hedge ratio should …

An arbitrage-free stochastic term structure model is used here to determine the equilibrium
Treasury bond futures price in terms of the option to deliver one of many eligible bonds as …

This article introduces these contents in detail about Macaulay duration, Modified duration,
and immunization strategy. The article is based on Macaulay Duration to study the relevant …

An arbitrage-free stochastic term structure model is used here to determine the equilibrium
Treasury bond futures price in terms of the option to deliver one of many eligible bonds as …

The conversion factoring system of the Chicago Board of Trade (CBOT) entails one of the
two rarely understood hedging implications. The hedging implication, arising from the linear …

This book discusses important aspects of fixed income securities in emerging economies.
Key features• Clarifies all conceptual and analytical aspects of fixed income securities and …

传统的债券久期和凸度的套期保值是非最优的, 通过考虑国债期货和其最便宜交割债券之间定价
关系推导了其正确的套期比率. 套期比率方程明确表示了每种套期工具对对冲即期和远期利率 …

Fixed Income Page 1 Fixed Income Teaching notes Joao Pedro Pereira Nova School of
Business and Economics Universidade Nova de Lisboa joao.pereira@novasbe.pt April 6 …