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An Overview of Global Fixed Income Markets 1
PART ONE The Relative Pricing of Securities with Fixed Cash Flows 47
CHAPTER 1 Prices, Discount Factors, and Arbitrage 51
CHAPTER 2 Spot, Forward, and Par Rates 69
CHAPTER 3 Returns, Spreads, and Yields 95
PART TWO Measures of Interest Rate Risk and Hedging 119
CHAPTER 4 One-Factor Risk Metrics and Hedges 123
CHAPTER 5 Multi-Factor Risk Metrics and Hedges 153
CHAPTER 6 Empirical Approaches to Risk Met... MORE
Angel Serrat holds a PhD in finance from MIT. Prior to joining the industry, he was a member of the finance faculty at The University of Chicago's Graduate School of Business. He has published in journals including The Review of Economic Studies, The Review of Financial Studies, and Econometrica. He was an executive director of strategy groups at Goldman Sachs and Credit Suisse, and later became a managing director at JPMorgan's global proprietary positioning business as a portfolio manager and head of strategy. He is currently a partner at Capula Investment Management, a fixed income asset management firm.