金融市场利率与流量：英文版 第5版

　　本书是美国许多大学采用的关于利率与金融风险管理的基础教材，主要探讨了金融市场均衡、市场间套利均衡和固定收益投资管理及超额收益等问题。

暂缺《金融市场利率与流量：英文版 第5版》作者简介

     Contents
   CHAPTER 1 The Function of Financial Markets
    Savings-Investment Foundation
    Efficiency of Financial Markets
    Stages of Efficiency
    Financial Assets
    The Role ofFinancial Intermediaries
    Disintermediation and Securitization
    Country Efficiency
    Financial Innovation
    The.Catalystfor Change
    Types of Innovations
    The Implications of Savings
    Degrees ofMoneyness
    Interest Rates and Arbitrage Efficiency
    Summary
    Selected References
   CHAPTER 2 The Flow-of-Funds System
    The Structure of the System
    Sectoring
    Source and Use Statements
    The Preparation ofa Matrix and Its Use
    Federal Reserve Flow-of-Funds Data
    Credit Flows
    Implications ofAnalysis
    Summary
    Selected References
   CHAPTER 3 Foundations for Interest Rates
    The Interest Rate in an Exchange Economy
    The Individual Choice
    Optimum with Exchange
    Combined Effect
    Market Equilibrium
    Interest Rates in a World with Risk
    Behavior of Individual Economic Units
    Utility for Financial Assets
    Utility for Financial Liabilities
    Utility for Other Assets
    Market Equilibrium
    Maximizing Utility for the Economic Unit
    TheAction ofAll Economic Units
    Summary
    Appendix: The Equilibrium Prices of Financial Assets
    Market Equilibrium: Two Economic Units
    Market Equilibrium: Multiple Financial Assets
    Selected References
   CHAPTER 4 Prices and Yields for Bonds and Money
    Market Instruments
    Review of Present Values
    Annuities
    Present Value When Interest Is Compounded More Than
    Once a Year
    Continuous Compounding
    The Price of a Bond
    Coupons and Principal Payments
    Price When Next Coupon Payment Is Less Than Six
    Months Away
    Zero-Coupon Bonds
    Yield Calculations for Bonds
    Implicit Reinvestment Rate Assumption
    Current Yield
    Holding Period Return
    Yield-to-Maturity for Zero-Coupon Bonds
    Yield for Perpetuities
    Money Market Instrument Returns
    Bank Discount Rate
    Implications
    Summary
    Selected References
   CHAPTER 5 Inflation and Retums
    The Historical Record in Brief
    The Nature of Inflation Premiums
    Unanticipated Inflation
    The Fisher Effect
    Nominal Interest Rates and Inflation, Theoretically
    Empirical Evidence on Nominal Interest Rates
    Problems in Empirical Testing
    Testing for the Effect oflnflation
    The Fisher Effect More Directly
    A Summing Up
    Nominal Contracting Effects
    Debtor-Creditor Claims
    Depreciation
    Inventories
    Corporate Value
    Empirical Testing
    Inflation Indexed Bonds
    The Mechanics
    Other Aspects
    Summary
    Selected References
   CHAPTER 6 The Term Structure of Interest Rates
    Definition of Term Structure
    The Pure Expectations Theory
    Forward Rates oflnterest
    Substitutability of Maturities
    Technical Problems
    Arbitrage and Market Efficiency
    Uncertainty and Term Premiums
    Market Segmentation
    Cox-Ingersoll-Ross Theory
    General Equilibrium Notions
    Term Structure Implications
    Other Models of the Term Structure
    Multifactor Models
    Lattice-Type Models
    Empirical Evidence
    Summary
    Selected References
   CHAPTER 7 Price Volatility, Coupon Rate, and Maturity
    The Coupon Effect
    Sensitivity ofPrice to Various Properties
    The Duration Measure and Its Changing Behavior
    Relationship between Duration and Maturity
    Relationship between Duration and Coupon Payment
    Relationship between Duration and Changes in Interest Rates
    Volatility Duration
    Modified Duration Formula
    Convexity
    The Convexity Measure
    Illustration of Price-Change Estimates Using Modified Duration
    and Convexity
    Further Observations on Convexity
    Immunization of Bond Portfolios
    Immunization with Coupon Issues
    An Illustration
    Fisher-Weil Duration
    Mapping the Stochastic Process
    Testing for Immunization Effectiveness
    Additional Immunization Considerations
    Equilibration between Coupon and Noncoupon Bond Markets
    Coupon Stripping
    Term Structure ofPure Discount Bonds
    Arbitrage Efficiency between the Markets
    Summary
    Selected References
   CHAPTER 8 The Default-Risk Structure of Interest Rates
    Promised, Realized, and Expected Rates
    Distribution of Possible Returns
    Empirical Evidence on Default Losses
    Credit Ratings and Risk Premiums
    Some Studies of Bond Ratings
    Cyclical Behavior of Risk Premiums
    The Market Segmentation Effect
    Speculative-Grade (Junk) Bonds
    Development ofthe Market
    Issuers and Use in Acquisitions
    Risk versus Return
    Event Risk
    Risk Structure and the Term Structure
    Empirical Evidence
    Summary
    Selected References
   CHAPTER 9 Derivative Securities: Interest-Rate Futures
    Introduction to Contract
    Features of Futures Markets
    Money Market Instruments
    Contents Vll
    Margin Requirements
    Marking-to-Market and Price Movements
    Longer-Term Instruments
    Quality Delivery Options
    Hedging and Speculation
    Some Hedging Fundamentals
    Futures and Spot Prices
    Long Hedges
    Hedge Ratios
    Short Hedges
    Basis Risk
    More on Basis Risk
    Sources ofBasis Risk
    Market Efficiency
    Possible Reasons for Deviation of Forward
    and Futures Rates
    Summary
    Selected References
   CHAPTER 10 Derivative Securities: Options
    Option Valuation
    Expiration Date Value ofan Option
    Valuation Prior to Expiration
    Hedging with Options
    Black-Scholes Option Model
    Debt Options
    Features ofFutures Options
    Use ofDebt Options
    Caps, Floors, and Collars
    Valuation ofDebt Options
    Yield Curve Options
    Convertible Securities
    Conversion Price/Ratio
    Debt Plus Option Characteristic
    Value of Convertible Securities
    Premiums
    Other Reasons for Premiums
    Summary
    Appendix A: Put-Call Parity
    Appendix B: Application of Option Pricing Concepts to Valuing
    Convertible Securities
    Selected References
   CHAPTER 11 Derivative Securities: Swaps
    Swap Features
    An Illustration
    Valuation Issues
    Comparative Advantage
    Completing Markets
    Default Risk
    Skirting Tax Laws and Regulations
    Swap Valuation: A Summing Up
    Credit Risk, Maturity, and Systemic Risk
    Default Provisions
    Value at Risk
    Secondary Market Values
    Swaptions
    Summary
    Selected References
   CHAPTER 12 Embedded Options and Option-Adjusted
    Spreads
    Option-Adjusted Spreads
    The Basic Methodology
    An Illustrdtion
    Some Caveats
    The Nature of the Call Feature
    Forms ofthe Provision
    Redemption versus Callability
    Putable Bonds
    The Call Feature's Valuation
    Interest-Rate Expectations
    The Call Feature and Convexity
    Valuation in an Option Pricing Context
    Empirical Evidence on Call Valuation
    The Sinking Fund
    Characteristics ofthe Provision
    Value ofthe Sinking Fund
    Empirical Evidence
    Summary
    Selected References
   CHAPTER 13 Mortgage Securities and Prepayment Risk
    Some Features of Mortgages
    Mortgage Pass-Through Security
    Agency Pass-Throughs
    Nonagency Pass-Throughs
    Mortgage Derivatives
    Collateralized Mortgage Obligations (CMOs)
    Planned Amortization Class (PAC) and Targeted Amortization
    Class (TAC) Securities
    Stripped Mortgage-Backed Securities
    Floaters and Inverse Floaters
    Prepayment Option and Its Valuation
    Prepayment and Convexity
    Measures of Prepayment
    Coupon Rate and Age
    Additional Factors Explaining Prepayment
    Modeling Prepayment Experience
    Option-Adjusted Spread Approach
    Prepayment Behavior of Certain Derivatives
    Planned Amortization Class Securities
    Interest Only (lOs), Principal Only (POs) and Residual Class Securitie
    Other Asset-Backed Securities
    Summary
    Selected References
   CHAPTER 14 Controlling Currency Risk
    Risk and Return from Foreign Investment
    Exchange Rate Risk Management
    Forward Exchange Market
    Illustration of Spot and Forward Exchange Rates
    A Single European Currency (Euro)
    Underlying Relationships
    The Law of One Price
    Purchasing Power Parity
    Interest-Rate Parity
    Covered Interest Arbitrage
    Interest-Rate Parity Approximation
    Empirical Evidence Concerning Interest-Rate Parity (IRP)
    Other Ways to Shift Risk
    Currency Futures
    Currency Options
    Currency Swaps
    Currency/interest-Rate Swaps
    Valuation Implications
    The Amount to Hedge
    A Free Lunch?
    The Cost of Currency Hedging
    Black's Universal Hedging
    Closing Thoughts
    Some Institutional Characteristics
    Euro and Foreign Bonds
    Currency-Option and Multiple-Currency Bonds
    Summary
    Selected References
   CHAPTER 15 TheInfluenceofTaxes
    Tax Treatment of Capital Gains
    Original Issue Discount (OID) Bonds
    Capital Gains Treatment for Taxable Coupon Bonds
    The De Minimis Rule
    Capital Gains Treatment for Municipal Bonds
    Tax Timing Options
    Municipal Bonds and the Taxation of Interest Income
    Taxable versus Tax-Exempt Yields
    The Nature ofthe Municipal Market
    Value of the Tax Exemption Feature
    Variation oflmplied Tax Rate
    The Effect of Tax Reform and Supply
    Implied Tax Rate and Maturity
    Preferred-Stock Tax Effects
    Straight Preferred-Stock Investments
    Auction-Rate Preferred Stock
    Summary
    Selected References
   CHAPTER 16 The Social Allocation of Capital
    The Issues Involved
    Ceilings on Borrowing Costs
    The Effect of Usury Laws
    The Negatives of Interest-Rate Ceilings
    Government Guarantees and Insurance
    The Transfer of Underlying Risk
    Option-Pricing Valuation
    Interest-Rate Subsidies
    The Effect ofthe Subsidy
    Effectiveness ofthe Subsidy
    Financial Intermediation Through Borrowing and Relending
    The Situation Illustrated
    The Effect of Government Intermediation
    Regulations Affecting Investor and Borrower Behavior
    The Effectiveness of'This Approach
    The Costs to Society
    Qualification for Tax-Exempt Financing
    Benefits, Costs, and Externalities
    Policy Implications
    Summary
    Selected References