Asset-liability and liquidity management

Asset-liability and liquidity management

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Bibliographic Details
Author / Creator:Farahvash, Pooya, author.
Edition:First Edition.
Imprint:Hoboken : Wiley, 2020.
Description:1 online resource
Language:English
Subject:
Asset-liability management.
Bank liquidity.
Asset-liability management
Bank liquidity
Format: E-Resource Book
URL for this record:http://pi.lib.uchicago.edu/1001/cat/bib/13682520
Hidden Bibliographic Details
ISBN:9781119701927 9781119701880
1119701929
9781119701927
9781119701910
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
Other form:Print version: Farahvash, Pooya Asset-Liability and Liquidity Management Newark : John Wiley & Sons, Incorporated,c2020 9781119701880
Table of 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
  • 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
  • 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
  • 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

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