Fixed income and interest rate derivative analysis

Preface; Acknowledgements; Fixed cash flows

Valuation of fixed cash flows with perfect replication; Imperfect replication: immunization and duration; Simple random cash flows

Forward rates, T-bill futures, and quasi-arbitrage; The eurodollar market and simple interest rate swaps; General rate-sensitive cash flows

No-arbitrage and risk-neutral pricing; State prices, forward induction, and tree-fitting; The Black-Derman-Toy Model; Convexity; Callable and convertible bonds; Credit risk; Continuous-time finance; Index.