| Description |
1 online resource |
| Contents |
Cover -- Title Page -- Copyright -- Contents -- About the Author -- Preface -- Abbreviations -- Introduction -- CHAPTER 1 Interest Rate -- Interest Rate, Future Value, and Compounding -- Use of Time Notation versus Period Notation -- Simple Interest -- Accrual and Payment Periods -- Present Value and Discount Factor -- Present Value of Several Cash Flows -- Present Value of Annuity and Perpetuity -- Day Count and Business Day Conventions -- Treasury Yield Curve and Zero-Coupon Rate -- Bootstrapping -- LIBOR -- Forward Rates and Future Rates -- Implied Forward Rates -- Forward Rate Agreements |
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Interest Rate Futures -- Swap Rate -- Determination of the Swap Rate -- Valuation of Interest Rate Swap Contracts -- LIBOR-Swap Spot Curve -- Interpolation Methods -- Piecewise Linear Interpolation -- Piecewise Cubic Spline Interpolation -- Federal Funds and Prime Rates -- Overnight Index Swap Rate -- OIS Discounting -- Secured Overnight Financing Rate -- Components of Interest Rate -- Risk Structure of Interest Rate -- Term Structure of Interest Rate -- Expectation Theory -- Market Segmentation Theory -- Liquidity Premium Theory -- Inflation and Interest Rate -- Negative Interest Rate |
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Interest Rate Shock -- Parallel Shock -- Non-Parallel Shock -- Interest Rate Risk -- Summary -- Notes -- Bibliography -- CHAPTER 2 Valuation: Fundamentals of Fixed-Income and Non-Maturing Products -- Principal Amortization -- Bullet Payment at Maturity -- Linear Amortization -- Constant Payment Amortization -- Sum-of-Digits Amortization -- Custom Amortization Schedule -- Fixed-Rate Instrument -- Valuation -- Yield -- Duration and Convexity -- Dollar Duration and Dollar Convexity -- Portfolio Duration and Convexity -- Effective Duration and Effective Convexity -- Interest Rate Risk Immunization |
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Key Rate Duration -- Fisher-Weil Duration -- Key Rate Duration -- Floating-Rate Instrument -- Pre-Period-Initiation Rate Setting -- Post-Period-Initiation Rate Setting -- Valuation Using Estimated Interest Rates at Future Reset Dates -- Using Implied Forward Rate -- Using Forecasted Rate -- Valuation Using Assumption of Par Value at Next Reset Date -- Duration and Convexity -- Valuation Using Simulated Interest Rate Paths -- Non-Maturing Instrument -- No New Business Treatment -- No New Account Treatment -- Constant Balance Treatment -- Inclusion of Prepayment and Default: A Roll Forward Approach |
| Summary |
Notes -- Bibliography -- CHAPTER 3 Equity Valuation -- Dividend Discount Model -- Discounted Free Cash Flow Method -- Comparative Valuation Using Price Ratios -- Summary -- Note -- Bibliography -- CHAPTER 4 Option Valuation -- Stock Option -- Boundary Values -- Call Option -- Put Option -- Put-Call Parity -- Underlying Stock Does Not Pay Dividends -- Underlying Stock Pays Dividends or Provides Yield -- Binomial Tree -- The Black-Scholes-Merton Model -- Generalization of the Black-Scholes-Merton Model -- Option Valuation Using Monte Carlo Simulation -- Sensitivity of Option Value |
| Subject |
Asset-liability management.
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Bank liquidity.
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Gestion des actifs et des passifs. |
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Banques -- Liquidité. |
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Asset-liability management |
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Bank liquidity |
| Other Form: |
Print version: Farahvash, Pooya Asset-Liability and Liquidity Management Newark : John Wiley & Sons, Incorporated,c2020 9781119701880 |
| ISBN |
9781119701927 (hardback) (e-book) |
|
1119701929 |
|
(adobe pdf) |
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(epub) |
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