Volume I: Financial Markets and Instruments skillfully covers the general characteristics of different asset classes, derivative instruments, the markets in which. View Table of Contents for Handbook of Finance Volume 1: Financial Markets and Instruments skillfully covers the general characteristics of. and fixed-income securities, the properties of financial markets, the gen- . The Handbook of Financial Instruments provides the most compre- hensive coverage ital Asset Prices,” Journal of Finance (September ), pp.
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Dr. Frank J. Fabozzi, PhD, CFA (New Hope, PA) is Professor in the Practice of Finance at Yale University's School of Management and the Editor of the Journal . June 25, HANDBOOK OF FINANCE VOLUME I Financial Markets and Instruments Frank J. Fabozzi Editor John Wiley & Sons. The Handbook of Fixed Income Securities - Frank macawebsrilni.ga . Financial Analysis Indenture Provisions Utilities Finance Companies . Part 3 covers bonds (domestic and foreign), money market instruments, and structured.
There are bonds that are issued as zero-coupon instruments.
Moreover, in the money market there are several types of debt instruments that are issued as discount instruments.
There is another type of debt obligation that does not pay interest until the maturity date.
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This type has contractual coupon payments, but those payments are accrued and distributed along with the maturity value at the maturity date.
These instruments are called accrued coupon instruments or accrual securities or compound interest securities.
Floating-Rate Securities The coupon rate on a debt instrument need not be fixed over its life. Floating-rate securities, sometimes called floaters or variable-rate securities, have coupon payments that reset periodically according to some reference rate.
The quoted margin is expressed in terms of basis points.
Handbook of Finance, Volume 1, Financial Markets and Instruments
A basis point is equal to 0. Suppose that the quoted margin is basis points. The reference rate for most floating-rate securities is an interest rate or an interest rate index.
There are some issues where this is not the case. Instead, the reference rate is the rate of return on some financial index such as one of the stock market indexes.
There are debt obligations whose coupon reset formula is tied to an inflation index. Because a cap restricts the coupon rate from increasing, a cap is an unattractive feature for the investor.
In contrast, there could be a minimum coupon rate specified for a floating-rate security. The minimum coupon rate is called a floor. If the coupon reset formula produces a coupon rate that is below the floor, the floor is paid instead.
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Thus, a floor is an attractive feature for the investor. Such bonds are said to have a bullet maturity. An issuer may be required to retire a specified portion of an issue each year.
This is referred to as a sinking fund requirement. There are loans that have a schedule of principal repayments that are made prior to the final maturity of the instrument.
Such debt instruments are said to be amortizing instruments. The same is true for mortgage-backed and most asset-backed securities because they are backed by pools of loans. There are debt instruments that have a call provision.
Some issues specify that the issuer must retire a predetermined amount of the issue periodically. Various types of call provisions are discussed below.
Volume 3: Valuation, Financial Modeling, and Quantitative Tools contains the most comprehensive coverage of the analytical tools, risk measurement methods, and valuation techniques currently used in the field of finance. It details a variety of concepts, such as credit risk modeling, Black-Scholes option pricing, and Monte Carlo simulation, and offers practical insights on effectively applying them to real-world situations. Frank J. Please check your email for instructions on resetting your password.
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About this reference work The Definitive Resource for the Demanding Field of Finance Incorporating timely research and in-depth analysis, the Handbook of Finance is a comprehensive 3-Volume Set that covers both established and cutting-edge theories and developments in finance and investing. About Each Volume Volume 1: About the Editor:The reference rate for most floating-rate securities is an interest rate or an interest rate index. Once these factors are identified, then the index can be decomposed into these factors or, more specifically, a risk profile of the index can be identified based on these factors.
Duration is then computed as follows: One highly respected investment manager, Mark Kritzman , p. There is another type of debt obligation that does not pay interest until the maturity date.
Floating-rate securities, sometimes called floaters or variable-rate securities, have coupon payments that reset periodically according to some reference rate. Are Stock Prices Predictable? downloadd Together: There are bonds that are issued as zero-coupon instruments.