Money and Capital Markets : Pricing, yields and analysis book cover
2nd Edition

Money and Capital Markets
Pricing, yields and analysis

ISBN 9781864481594
Published August 1, 1996 by Routledge
232 Pages

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Book Description

Money and Capital Markets provides the most up-to-date, practical coverage of the pricing and analysis of financial instruments and transactions available for Australian and international capital markets.

Here you have the underlying tools and techniques for the valuation and risk management of short-term money market and capital market securities and their derivatives. In a clear and direct way, Michael Sherris covers fixed interest securities, forwards, futures, swaps, options and interest rate derivatives (new in the Second Edition). Everything - from yield calculations to tax and horizon effects to interest rate risk measures - is lucidly explained and extensively illustrated with examples.

An invaluable reference for money market professionals, Money and Capital Markets is essential reading for tertiary students of finance, accounting and actuarial studies.

Table of Contents





1 Price calculations for short-term securities

2 Yield calculations for short-term securities

3 Pricing of long-term securities

4 Yield calculations for long-term securities

5 Interest rate risk analysis for fixed-interest securities

6 Forwards and futures

7 Swaps

8 Options

9 Interest rate derivatives

Glossary of securities



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Michael Sherris is Professor of Actuarial Studies at UNSW. Prior to becoming an academic he worked in the banking and finance industry for a number of major banks and a life insurance company. Professor Sherris has provided consulting advice for a number of banks, life insurance companies and fund managers in the areas of interest rate risk management, derivatives, funds management, project finance, investment modelling and superannuation.