Previous Topic

Next Topic

Bond Pricing References

Brown, P.J., 1998, Bond Markets: Structures and Yield Calculations, International Securities Market Association, New York.

Clewlow L., and C. Strickland, 1999, Implementing Derivative Models, John Wiley & Sons, England.

Cornyn A.G., R.A. Klein, J. Lederman, 1997, Controlling & Managing Interest Rate Risk, Prentice Hall, America

J.P. Morgan Securities, 1998, Government Bond Outlines, Fixed Income Research.

J.P. Morgan Securities, 2000, Government Bond Outlines, Fixed Income Research.

Fabozzi, F.J., 1997, The Handbook of Fixed Income Securities, McGraw-Hill, 5th Edition.

Mizuho Securities Co, 2001, New Calculation Methods for Accrued Interest on JGBs, Fixed Income Research Department.

Questa, G.S, 1999, Fixed-Income Analysis for the Global Financial Market, John Wiley & Sons, Canada.

Steiner R., 1998, Mastering Financial Calculations: A step by step guide to the mathematics of financial instruments, Pitman Publishing, London.

Stigum, M., 1990, The Money Market, McGraw Hill, 3rd Edition.

Stigum, M., and F.L. Robinson, 1996, Money Market and Bond Calculations, Irwin Professional Publishing, Chicago.

Sundaresan, S, M, 1997, Fixed Income Markets and their Derivatives, South-Western College Publishing, Ohio.

United Kingdom Debt Management Office, 1998, "Formula for Calculating Gilt Prices from Yields".


See Also

Vanilla Options References

Return to website

Copyright 2013 Hedgebook Ltd.