Treasury Securities and DerivativesISBN: 978-1-883249-23-6
Hardcover
322 pages
December 1997
 This is a Print-on-Demand title. It will be printed specifically to fill your order. Please allow an additional 10-15 days delivery time. The book is not returnable.
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Acknowledgements.
1. U.S. Treasury Securities.
2. Valuation of Treasury Securities.
3. Yield and Return Calculations.
4. The Term Structure of Interest Rates.
5. Spot Rates, Forward Rates, and Theories of the Term Structure of Interest Rates.
6. Measuring Level Risk.
7. Measuring Yield Curve Risk.
8. Measuring Historical Yield Volatility and Forecasting Yield Volatility.
9. Repurchase Agreements.
10. Tax Treatment.
11. Cash Market Trading Strategies.
12. Treasury Futures Contracts.
13. Treasury Options.
14. Valuation of Treasury Futures and Options.
15. Controlling Interest Rate Level Risk with Treasury Futures and Options.
16. Basis Trading with Futures and Volatility Trades with Options.
Index.
1. U.S. Treasury Securities.
2. Valuation of Treasury Securities.
3. Yield and Return Calculations.
4. The Term Structure of Interest Rates.
5. Spot Rates, Forward Rates, and Theories of the Term Structure of Interest Rates.
6. Measuring Level Risk.
7. Measuring Yield Curve Risk.
8. Measuring Historical Yield Volatility and Forecasting Yield Volatility.
9. Repurchase Agreements.
10. Tax Treatment.
11. Cash Market Trading Strategies.
12. Treasury Futures Contracts.
13. Treasury Options.
14. Valuation of Treasury Futures and Options.
15. Controlling Interest Rate Level Risk with Treasury Futures and Options.
16. Basis Trading with Futures and Volatility Trades with Options.
Index.
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