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Valuation of Fixed Income Securities and Derivatives, 3rd Edition


The authoritative resource for understanding and practicing valuation of both common fixed income investment vehicles and complex derivative instruments-now updated to cover valuing interest rate caps and floors.

Frank J. Fabozzi is a financial consultant, the editor of the Journal of Portfolio Management, and an Adjunct Professor of Finance at Yale University's School of Management.

Index of Advertisers.

1. Fundamental Valuation Principles.

2. Spot Rates and Their Role in Valuation.

3. Forward Rates and Term Structure Theories.

4. Measuring Price Sensitivity to Interest Rate Changes.

5. Overview of the Valuation of Bonds with Embedded Options.

6. Binomial Model I: Valuing Callable Bonds.

7. Binomial Model II: Valuing Other Bond Structures.

8. Monte Carlo Model for Valuing Mortgage-Backed Securities.

9. Valuation of Asset-Backed Securities.

10. Valuation of Inverse Floaters.

11. Valuation of Convertible Securities.

12. Valuation of Interest Rate Futures Contracts.

13. Valuation of Options on Fixed Income Instruments and Interest Rate Futures.

14. Valuation of Interest Rate Swaps.

15. Valuation of Interest Rate Caps and Floors.

16. Estimating Yield Volatility.