An interactive e-book powered by Maple
Only links in this color are alive
Chapter 1:Introduction and Review of Simple Concepts
1.1 Annuities, perpetuities and mortgages
Chapter 2: Basic Features of Bond Markets
2.1 A Basic Model of Bond Markets
2.2 Arbitrage in the Debt Market
2.3 Defining the No-Arbitrage condition
2.4 Pricing by Replication and Discount factors
2.6 Rates, Discount Factors, and Continuous Compounding
Chapter 3: The Term Structure, its Estimation & Smoothing
3.1 The Term Structure of Interest Rates
3.2 Smoothing of the Term Structure
3.2.1 Smoothing and Continuous Compounding
3.3.1 Forward Rate: A Classical Approach
3.3.2 Forward Rate: A Practical Approach
3.7.1 Theories of the Shape of the Term Structure
Chapter 4: Duration and Immunization
4.1 Duration - a sensitivity measure of bonds' prices to interest rate
4.3 Generalized duration and immunization
4.4 Immunization strategies with and without short sales
Chapter 5: Forwards, Eurodollars and Futures
5.1 Forward Contracts: A Second Look
5.2 Valuation of Forward Contracts Prior to Maturity
5.3 Forward Price of Assets that Pay Known Cash Flows
5.3.1 Forward Contracts, Prior to Maturity, of Assets that Pay Known Cash Flows
5.3.2 Forward Price of a Stock that Pays A Known Dividend Yield
5.4.1 Forward Rate Agreements (FRA)
5.5 Futures Contracts: A Second Look
5.6 Deterministic Term Structure (DTS)
5.7 Futures Contracts in a DTS Environment
Chapter 6: Swaps: A Second Look
6.3 Commodity and Equity Swaps
6.4 Forwards and Swaps: A Visualization