"The Bond and Money Markets: Strategy, Trading, Analysis" explains and analyzes all aspects of the bond and money markets and is both an introduction for newcomers and an advanced text for experienced market practitioners and graduate students. Those with experience of the industry at all levels will find the book invaluable as a standard reference work. The book features coverage of: Government and Corporate bonds, Eurobonds, callable bonds, convertibles; asset-backed bonds including mortgages and CDOs; derivative instruments including bond futures, swaps, options, structured products, and option valuation models; interest-rate risk, duration analysis, convexity, and the convexity bias; the money markets, repo markets, basis trading, and asset / liability management; term structure models, estimating and interpreting the yield curve; portfolio management, including total return framework, portfolio strategies, and constructing bond indices and valuable insight into: trading and hedging strategy; charting and technical analysis; the latest market developments, such as value-at-risk, and credit derivatives; and, emerging markets and the benefits of international investment. "The Bond and Money Markets: Strategy, Trading, Analysis" is aimed at a wide readership including bond salespersons, traders, corporate financiers and graduate trainees, as well as risk managers, operations professionals and business analysts. Other market participants including fund managers, corporate treasurers, management consultants, regulators and financial journalists will also find the content useful. This book is virtually a stand alone reference book on interest rate swaps, the money markets, financial market mathematics, interest-rate futures and technical analysis. It includes some introductory coverage of very specialized topics (for which one requires specialized texts) such as VaR, Asset & liability management, credit derivatives. It combines accessible style with advanced level topics, plus review of latest research.
"The book explains and analyses all aspects of the bond and money markets and is both an introduction for newcomers and an advanced text for experienced market practitioners and graduate students. Those with experience of the industry at all levels will find the book invaluable as a standard reference work."
- Securities & Investment Review
Foreword
Preface
Introduction to bonds - Intro to bonds
Financial market arithmetic
The pricing of bonds
Bond yields
Review of bond market instruments
The yield curve
Price, yield and interest rate risk I
Price, yield and interest rate risk II
Price, yield and interest rate III
Price, yield and interest rate IV
Government bond markets - The gilt market
The US treasury market
International bond markets
Corporate debt markets - Corporate bonds I
Callable bonds and OAS analysis
Convertible bond markets I
Convertible bond markets II
The Eurobond market I
The Eurobond market II
Warrants
MTNs
Commercial paper
Prefs
US Municipal
Asset backed bonds I
Mortgage backed bonds II
Asset backed bonds III
High-yield bonds
Credit analysis
The money markets - Money markets
Capital and regulatory requirements
Asset and liability management
Repo
Money market derivative
Risk management - Intro to risk
VaR
Fixed income modelling
Derivative instruments - Swaps I
Swaps II
Bond futures
Options I
Stochastic processes
Option pricing
The binomial model
Bond option models
The Greeks
Strategy and uses
Exotic options
Trading and hedging - Trading and hedging
Advanced fixed income analytics
Modelling
Yield curve modelling I
Yield curve modelling II
Estimating and fitting the yield curve
I-L bonds analysis
Pricing long-dated bonds
Portfolio management - International investing
Constructing bond indices
Technical analysis - Technical analysis
Introduction to credit derivatives - Credit derivatives
Emerging markets - Brady bonds
International investing
Concluding remarks
About Moorad Choudhry
Moorad Choudhry is Head of Treasury at KBC Financial Products (UK) Limited in London. Previously he worked in structured finance at JPMorgan Chase Bank, and as a sterling bond trader at ABN Amro Hoare Govett Limited and Hambros Bank Limited. Dr Choudhry is a Visiting Professor at the Department of Economics, London Metropolitan University, and a Senior Fellow at the Centre for Mathematical Trading and Finance, CASS Business School. He is also a Fellow of the Securities Institute.
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