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1、TableofContentsTitlePageCopyrightPagePreface″RATES″MARKETBACKGROUNDBOOKSTRUCTUREACKNOWLEDGMENTSAbouttheAuthorListofSymbolsandAbbreviationsPARTOne-Cash,Repo,andSwapMarketsCHAPTER1-Bonds:It′sAllAboutDiscountingTIMEVALUEOFMONEY:FUTUREVALUE,PRESENTVALUEPRICE-YIELDFORMULAPV01,PVB
2、P,CONVEXITYREPO,REVERSEREPOFORWARDPRICE/YIELD,CARRY,ROLL-DOWNCHAPTER2-Swaps:It′sStillAboutDiscountingDISCOUNTFACTORCURVE,ZEROCURVEFORWARDRATECURVEPAR-SWAPCURVECONSTRUCTIONOFTHESWAP/LIBORCURVECHAPTER3-InterestRateSwapsinPracticeMARKETINSTRUMENTSSWAPTRADING—RATESORSPREADSSWAPS
3、PREADSRISK,PV01,GAMMALADDERCALENDARRULES,DATEMINUTIAECHAPTER4-SeparatingForwardCurvefromDiscountCurveFORWARDCURVESFORASSETSIMPLIEDFORWARDRATESFLOAT/FLOATSWAPSLIBOR/LIBORBASISSWAPSOVERNIGHTINDEXEDSWAPS(OIS)PARTTwo-Interest-RateFlowOptionsCHAPTER5-DerivativesPricing:Risk-Neutr
4、alValuationEUROPEAN-STYLECONTINGENTCLAIMSONE-STEPBINOMIALMODELFROMONETIME-STEPTOTWOFROMTWOTIME-STEPSTO...RELATIVEPRICESRISK-NEUTRALVALUATION:ALLRELATIVEPRICESMUSTBEMARTINGALESINTEREST-RATEOPTIONSAREINHERENTLYDIFFICULTTOVALUEFROMBINOMIALMODELTOEQUIVALENTMARTINGALEMEASURESCHAP
5、TER6-Black′sWorldALITTLEBITOFRANDOMNESSMODELINGASSETCHANGESBLACK-SCHOLES-MERTON/BLACKFORMULAEGREEKSDIGITALSCALLISALLYOUNEEDCALENDAR/BUSINESSDAYS,EVENTVOLSCHAPTER7-European-StyleInterest-RateDerivativesMARKETPRACTICEINTEREST-RATEOPTIONTRADESCAPLETS/FLOORLETS:OPTIONSONFORWARDR
6、ATESEUROPEAN-STYLESWAPTIONSSKEWS,SMILESCMSPRODUCTSBONDOPTIONSPARTThree-Interest-RateExoticsCHAPTER8-Short-RateModelsAQUICKTOURDYNAMICSTOIMPLEMENTATIONLATTICE/TREEIMPLEMENTATIONBDTLATTICEMODELHULL-WHITE,BLACK-KARASINSKIMODELSSIMULATIONIMPLEMENTATIONCHAPTER9-Bermudan-StyleOpti
7、onsBELLMAN′SEQUATION—BACKWARDINDUCTIONBERMUDANSWAPTIONSBERMUDANCANCELABLESWAPS,CALLABLE/PUTTABLEBONDSBERMUDAN-STYLEOPTIONSINSIMULATIONIMPLEMENTATIONCHAPTER10-FullTerm-StructureInterest-RateModelsSHIFTINGFOCUSFROMSHORTRATETOFULLCURVE:HO-LEEMODELHEATH-JARROW-MORTON(HJM)FULLTER
8、M-STRUCTUREFRAMEWORKDISCRETE-TIME,DISCRETE-TENORHJMFRAMEWORKFORWARD-FORWARD
