Del 5 - International Library of Critical Writings in Financial Economics series

Debt Market

Inbunden, Engelska, 2000

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This three-volume collection - prepared by a leading scholar and practitioner - presents the subject through a collection of important published articles on the debt market. It focuses first on the classical bond market and moves on to a discussion of rational expectations, estimation and the term structure. This is followed by the modern theory of the term structure derived from modelling the stochastic movements of interest rates. The third section discusses implementation and related subtopics including taxation and the management of interest rate risk. The final section extends the discussion to corporate bonds and mortgages.

Produktinformation

Utgivningsdatum2000-08-25
FormatInbunden
SpråkEngelska
SerieInternational Library of Critical Writings in Financial Economics series
FörlagEdward Elgar Publishing Ltd
ISBN9781852789879

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Mikroekonomi inom Ekonomi och ledarskap
Finansiering inom Ekonomi och ledarskap

Contents:Volume I:Acknowledgements • IntroductionPart IThe Classical Expectations Hypothesis1. F.A. Lutz (1941), ‘The Structure of Interest Rates’2. J.M. Culbertson (1957), ‘The Term Structure of Interest Rates’3. John H. Wood (1964), ‘The Expectations Hypothesis, the Yield Curve, and Monetary Policy’4. Franco Modigliani and Richard Sutch (1966), ‘Innovations in Interest Rate Policy’5. J. Huston McCulloch (1975), ‘An Estimate of the Liquidity Premium’Part IITesting Rational Expectations Hypotheses6. Robert J. Shiller (1990), ‘The Term Structure of Interest Rates’7. John Y. Campbell and Robert J. Shiller (1991), ‘Yield Spreads and Interest Rate Movements: A Bird’s Eye View’8. Robert F. Stambaugh (1988), ‘The Information in Forward Rates: Implications for Models of the Term Structure’9. Eugene F. Fama (1975), ‘Short-Term Interest Rates as Predictors of Inflation’10. Bradford Cornell (1978), ‘Monetary Policy, Inflation Forecasting and the Term Structure of Interest Rates’11. Eugene F. Fama (1984), ‘Term Premiums in Bond Returns’12. Tadashi Kikugawa and Kenneth J. Singleton (1994), ‘Modeling the Term Structure of Interest Rates in Japan’Part IIIThe Derivative Asset Approach to the Term Structure13. Robert C. Merton (1973), ‘Theory of Rational Option Pricing’14. John C. Cox and Stephen A. Ross (1976), ‘The Valuation of Options for Alternative Stochastic Processes’15. Oldrich Vasicek (1977), ‘An Equilibrium Characterization of the Term Structure’16. John C. Cox, Jonathan E. Ingersoll, Jr. and Stephen A. Ross (1981), ‘A Re-examination of Traditional Hypotheses about the Term Structure of Interest Rates’17. John C. Cox, Jonathan E. Ingersoll, Jr. and Stephen A. Ross (1985), ‘A Theory of the Term Structure of Interest Rates’18. John C. Cox, Jonathan E. Ingersoll, Jr. and Stephen A. Ross (1985), ‘An Intertemporal General Equilibrium Model of Asset Prices’19. Michael J. Brennan and Eduardo S. Schwartz (1979), ‘A Continuous Time Approach to the Pricing of Bonds’20. David Heath, Robert Jarrow and Andrew Morton (1992), ‘Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation’21. Philip H. Dybvig, Jonathan E. Ingersoll, Jr. and Stephen A. Ross (1996), ‘Long Forward and Zero-Coupon Rates Can Never Fall’Name IndexVolume II:Part ITesting the Derivative Asset Approach1. Stephen J. Brown and Philip H. Dybvig (1986), ‘The Empirical Implications of the Cox, Ingersoll, Ross Theory of the Term Structure of Interest Rates’2. Robert Litterman and José Scheinkman (1991), ‘Common Factors Affecting Bond Returns’3. Robert Litterman, José Scheinkman and Laurence Weiss (1991), ‘Volatility and the Yield Curve’4. Michael R. Gibbons and Krishna Ramaswamy (1993), ‘A Test of the Cox, Ingersoll, and Ross Model of the Term Structure’5. Roger H. Brown and Stephen M. Schaefer (1994), ‘The Term Structure of Real Interest Rates and the Cox, Ingersoll, and Ross Model’Part IIImplementing the Derivative Asset Approach6. John C. Cox, Stephen A. Ross and Mark Rubinstein (1979), ‘Option Pricing: A Simplified Approach’7. Thomas S.Y. Ho and Sang-Bin Lee (1986), ‘Term Structure Movements and Pricing Interest Rate Contingent Claims’8. Fischer Black, Emanuel Derman and William Toy (1990), ‘A One-Factor Model of Interest Rates and Its Application to Treasury Bond Options’9. John Hull and Alan White (1990), ‘Pricing Interest-Rate-Derivative Securities’Part IIITaxation and Clientele Effects10. J. Huston McCulloch (1975), ‘The Tax-Adjusted Yield Curve’11. Philip H. Dybvig and Stephen A. Ross (1986), ‘Tax Clienteles and Asset Pricing’ and ‘Discussion’12. Walter N. Torous (1985), ‘Differential Taxation and the Equilibrium Structure of Interest Rates’13. Stephen M. Schaefer (1982), ‘Tax-Induced Clientele Effects in the Market for British Government Securities: Placing Bounds on Security Values in an Incomplete Market’14. Richard Roll (1984), ‘After-Tax Investment Results from Long-Term vs. Short-Term Discount Coupon Bonds’15. George M. Constantinides and Jonathan E. Ingersoll, Jr. (1984), ‘Optimal Bond Trading with Personal Taxes’Part IVDuration, Immunization and Hedging16. F.M. Redington (1952), ‘Review of the Principles of Life-Office Valuations’17. Lawrence Fisher and Roman L. Weil (1971), ‘Coping with the Risk of Interest-Rate Fluctuations: Returns to Bondholders from Naïve and Optimal Strategies’18. G.O. Bierwag (1977), ‘Immunization, Duration, and the Term Structure of Interest Rates’19. Jonathan E. Ingersoll, Jr., Jeffrey Skelton and Roman L. Weil (1978), ‘Duration Forty Years Later’20. Jonathan E. Ingersoll, Jr. (1983), ‘Is Immunization Feasible? Evidence from the CRSP Data’21. Stephen M. Schaefer (1984), ‘Immunisation and Duration: A Review of Theory, Performance and Applications’22. John C. Cox, Jonathan E. Ingersoll, Jr. and Stephen A. Ross (1979), ‘Duration and the Measurement of Basis Risk’Name IndexVolume III:Part ICorporate Bonds1. Fischer Black and Myron Scholes (1973), ‘The Pricing of Options and Corporate Liabilities’2. Robert C. Merton (1974), ‘On the Pricing of Corporate Debt: The Risk Structure of Interest Rates’3. Fischer Black and John C. Cox (1976), ‘Valuing Corporate Securities: Some Effects of Bond Indenture Provisions’4. Jonathan E. Ingersoll, Jr. (1977), ‘A Contingent-Claims Valuation of Convertible Securities’5. Michael J. Brennan and Eduardo S. Schwartz (1977), ‘Savings Bonds, Retractable Bonds and Callable Bonds’6. Clifford W. Smith, Jr. and Jerold B. Warner (1979), ‘On Financial Contracting: An Analysis of Bond Covenants’7. René M. Stulz and Herb Johnson (1985), ‘An Analysis of Secured Debt’8. Edward I. Altman (1989), ‘Measuring Corporate Bond Mortality and Performance’9. Robert Litterman and Thomas Iben (1991), ‘Corporate Bond Valuation and the Term Structure of Credit Spreads’10. Kenneth B. Dunn and Kenneth M. Eades (1989), ‘Voluntary Conversion of Convertible Securities and the Optimal Call Strategy’11. Douglas W. Diamond (1993), ‘Seniority and Maturity of Debt Contracts’Part IIMortgages and Other Fixed Income Instruments12. Scott M. Pinkus, Susan Mara Hunter and Richard Roll (1987), ‘An Introduction to the Mortgage Market and Mortgage Analysis’13. Douglas T. Breeden (1991), ‘Risk, Return, and Hedging of Fixed-Rate Mortgages’14. Scott F. Richard and Richard Roll (1989), ‘Prepayments on Fixed-Rate Mortgage-Backed Securities’15. Eduardo S. Schwartz and Walter N. Torous (1989), ‘Valuing Stripped Mortgage-Backed Securities’16. Sheridan Titman and Walter Torous (1989), ‘Valuing Commercial Mortgages: An Empirical Investigation of the Contingent-Claims Approach to Pricing Risky Debt’17. John C. Cox, Jonathan E. Ingersoll, Jr. and Stephen A. Ross (1980), ‘An Analysis of Variable Rate Loan Contracts’18. Krishna Ramaswamy and Suresh M. Sundaresan (1986), ‘The Valuation of Floating-Rate Instruments: Theory and Evidence’19. Richard Roll (1996), ‘U.S. Treasury Inflation-Indexed Bonds: The Design of a New Security’Name Index