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Fixed Income Markets by Moorad Choudhry

  • Fixed Income Markets

  • Instruments, Applications, Mathematics

  • by Moorad Choudhry
Usually ships within 1 to 3 working days

    • Product code: 20069
    • ISBN: 0470821361, ISBN13: 9780470821367, 898 pages, hardback
      Published by John Wiley & Sons on 2004 , 1st
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    Description of Fixed Income Markets

    The book is divided into four parts, covering introduction to bonds, selected market instruments and derivatives and trading strategy.

    Highlights include:

    - detailed treatment of bond mathematics, including pricing and yield analytics. This includes modified duration and convexity

    - the concept of spot (zero-coupon) and forward rates, and the rates implied by market bond prices and yields

    - a description of yield-curve fitting techniques, and an account of spline fitting using regression techniques

    - an introductory discussion of term-structure models

    - coverage of money-market instruments and analysis

    - analysis of instruments such as callable bonds that feature embedded options

    - a discussion of mortgage-backed securities

    - a discussion of collateralized debt obligations

    - techniques used in the analysis of index-linked bonds

    - the use and applications of credit derivatives by participants in the fixed-income markets

    - a chapter on trading techniques based on the author's personal experience

    Contents of Fixed Income Markets

    Foreword
    Preface

    PART I: Introduction to Bonds

    1. The bond instrument
    2. Interest-rate risk
    3. Pricing, spot and forward rates
    4. Interest rate modelling
    5. Yield curve fitting


    PART II: Market Instruments

    6. Money markets
    7. Hybrid securities
    8. Analysis of callable bonds
    9. Index-linked bonds
    10. ABS and MBS intro
    11. CDOs
    12. Structured credit products


    PART III: Derivative Instruments

    13. Forwards and futures pricing
    14. Bond futures
    15. Swaps
    16. SwapNote
    17. Credit derivatives I
    18. Credit derivatives II
    19. Options I
    20. Options II


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