The handbook of fixed income options : strategies, pricing, and applications / Frank J. Fabozzi, editor

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Subjects: Options (Finance)
Fixed-income securities
Formats: Print
Material Type: Books
Language: English
Audience: Unspecified
Edition: Rev. ed
Published: Chicago : Irwin, c1996
LC Classification: H, HG
Physical Description: xvii, 509 p. : ill. ; 24 cm
Table of Contents: 1. Overview of Fixed-Income Options / William J. Gartland, Nicholas C. Letica, Frank J. Fabozzi 3
2. Fixed-Income Option Contracts / Lawrence E. Grannan, Steven L. Nutt 37
3. Exotic (Nonstandard) Options on Fixed-Income Instruments / Gary L. Gastineau 49
4. A Survey of Spread Options for Fixed-Income Investors / Scott McDermott 75
5. Options on Mortgage-Backed Securities / William A. Barr 127
6. Interest-Rate Caps, Floors, and Compound Options / Anand K. Bhattacharya 143
7. An Overview of Fixed-Income Option Models / Lawrence J. Dyer, David P. Jacob 167
8. The Binomial Model for Valuing Options and Bonds with Embedded Options / Frank J. Fabozzi 201
9. Valuing Embedded Options in Interest Rate Caps, Floors, and Collars / Mark J. P. Anson 225
10. A Model for the Valuation of Callable Bonds / Ehud I. Ronn 245
11. Valuing Options on Treasury Bond Futures Contracts / Ehud I. Ronn, Klaus Bjerre Toft 261
12. An Intuitive Approach to Fixed-Income Option Valuation / David Audley, Richard Chin, Shrikant Ramamurthy 283
13. Valuation of Credit Risk Derivatives / Yiannos A. Pierides 297
14. An Options Approach to Valuing and Hedging Mortgage Servicing Rights / Robert D. Selvaggio 311
15. Choosing the "Correct" Volatility for the Valuation of Embedded Options / David Audley, Richard Chin 319
16. Measuring, Interpreting, and Applying Volatility within the Fixed-Income Market / Keith Anderson, Scott Amero 331
17. Hedging with Options and Option Products / Jane Sachar Brauer, Laurie S. Goodman 345
18. Scenario Analysis and the Use of Options in Total Return Portfolio Management / Keith Anderson, Scott Amero 369
19. Covered Call Writing Strategies / Frank J. Jones, Beth A. Krumholz 401
20. Capping the Interest Rate Risk in Insurance Products / David Babbel, Peter Bouyoucos, Robert Strickler 437
21. Putable Swaps: Tools for Managing Callable Assets / Robert M. Stavis, Victor J. Haghani 465
22. Using Options to Enhance the Total Return of a Mortgage Portfolio / Laurie S. Goodman, Linda Lowell, Jeff Ho 483
Index 499
Additional Authors: Fabozzi, Frank J
Notes: LCCN: 96003753
ISBN: 0786310235
ISBN: 0786310227
Includes bibliographical references and index
OCLC Number: 34114105
ISBN/ISSN: 0786310235
0786310227