Capital Market Instruments

1. Front Matter

   Pages i-xxviii

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2. Introduction

   1. Front Matter

      Pages 1-1

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   2. Introduction to Financial Market Instruments

      • Moorad Choudhry, Didier Joannas, Richard Pereira, Rod Pienaar

      Pages 3-10

   3. Market-Determined Interest Rates, and the Time Value of Money

      • Moorad Choudhry, Didier Joannas, Richard Pereira, Rod Pienaar

      Pages 11-21

3. Debt Capital Market Cash Instruments

   1. Front Matter

      Pages 23-24

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   2. Money Market Instruments and Foreign Exchange

      • Moorad Choudhry, Didier Joannas, Richard Pereira, Rod Pienaar

      Pages 25-49

   3. Fixed Income Securities I: The Bond Markets

      • Moorad Choudhry, Didier Joannas, Richard Pereira, Rod Pienaar

      Pages 50-121

   4. Fixed Income Securities II: Interest-Rate Risk

      • Moorad Choudhry, Didier Joannas, Richard Pereira, Rod Pienaar

      Pages 122-137

   5. Fixed Income Securities III: Option-Adjusted Spread Analysis

      • Moorad Choudhry, Didier Joannas, Richard Pereira, Rod Pienaar

      Pages 138-147

   6. Interest Rate Modelling

      • Moorad Choudhry, Didier Joannas, Richard Pereira, Rod Pienaar

      Pages 148-164

   7. Fitting the Yield Curve

      • Moorad Choudhry, Didier Joannas, Richard Pereira, Rod Pienaar

      Pages 165-173

   8. B-Spline Modelling and Fitting the Term Structure

      • Moorad Choudhry, Didier Joannas, Richard Pereira, Rod Pienaar

      Pages 174-190

   9. Inflation-Indexed Bonds and Derivatives

      • Moorad Choudhry, Didier Joannas, Richard Pereira, Rod Pienaar

      Pages 191-213

4. Structured Financial Products

   1. Front Matter

      Pages 215-215

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   2. An Introduction to Asset-Backed Bonds and Securitisation

      • Moorad Choudhry, Didier Joannas, Richard Pereira, Rod Pienaar

      Pages 217-231

   3. Mortgage-Backed Securities

      • Moorad Choudhry, Didier Joannas, Richard Pereira, Rod Pienaar

      Pages 232-263

   4. Collateralised Debt Obligations

      • Moorad Choudhry, Didier Joannas, Richard Pereira, Rod Pienaar

      Pages 264-308

5. Derivative Instruments

   1. Front Matter

      Pages 309-309

      PDF

   2. Short-Term Interest-Rate Derivatives

      • Moorad Choudhry, Didier Joannas, Richard Pereira, Rod Pienaar

      Pages 311-328

   3. Swaps

      • Moorad Choudhry, Didier Joannas, Richard Pereira, Rod Pienaar

      Pages 329-357

This book is a revised and updated guide to some of the most important issues in the capital markets today, with an emphasis on fixed-income instruments such as index-linked bonds, asset backed securities, mortgage backed securities and related products such as credit derivatives. However, fundamental concepts in equity market analysis, foreign exchange and money markets are also covered to provide a comprehensive overview. The focus is on analysis and valuation techniques, presented for the purposes of practical application. The book includes an accompanying CD-ROM with RATE software, designed to introduce readers to yield curve modelling. It also includes calculators for vanilla interest rate swaps and caps.

• asset backed securities
• Bonds
• capital
• capital market
• derivatives
• financial market
• inflation
• Options
• Swaps
• investments and securities

• KBC Financial Products, UK

  Moorad Choudhry

• Hong Kong, China

  Didier Joannas

• Nomura plc, UK

  Richard Pereira

• UBS AG, UK

  Rod Pienaar

MOORAD CHOUDRY works in investment banking in the City of London, UK. He was previously a gilt-edged market maker at ABN-AMRO Hoare Govett Sterling Bonds Ltd. He is also Visiting Professor at the department of Economics, Finance and International Business, London Metropolitan University. He is a Senior Fellow at the Centre for Mathematical Trading and Finance, CASS Business School, London.

DIDIER JOANNAS works for SunGard in investment banking in Hong Kong. He was previously employed as a quantitative analyst and arbitrage trader at ABN-AMRO Hoare Govett Sterling Bonds Ltd.

RICHARD PEREIRA works for the credit derivatives and securitization team at Dresdner Kleinwort Wasserstein. Previously, he worked as a market risk consultant at leading investment banks.

ROD PIENAAR works on investment banking systems at UBS Equity Finance in London, UK. He has previously worked in risk management consulting, during which time he provided systems, process and risk consultancy services to a variety of investment banks.

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