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Description of Analysing and Interpreting the Yield Curve

One of today′s fastest growing investment and risk management mechanisms such as synthetic securitisations and structured products are revolutionizing the financial industry and changing the way banks, institutional investors, and securities traders do business both domestically and globally. While potentially beneficial, these important instruments are complex structures that are often misunderstood and frequently mishandled. This groundbreaking book offers a succinct and focused resource complete with global case studies on how they work, and how best to capitalize on them.

Title Information

ISBN:

9780470821251

Pages:

300 pages

Format:

Hardback

Product Code:

20531

Publisher:

John Wiley & Sons Ltd

Published:

10/02/2004

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About Moorad Choudhry

Moorad Choudhry is a vice–president in Structured Finance Services with JP Morgan Chase Bank in London. Prior to this he worked as a gilt–edged market maker and Treasury trader at ABN Amro Hoare Govett Sterling Bonds Limited, and as a sterling proprietary trader at Hambros Bank Limited. Moorad has lectured on the bond markets at the London School of Economics, the ISMA Centre in Reading, London Guildhall University and the International Faculty of Finance, and is a senior Fellow at the Centre for Mathematical Trading and Finance, CASS Business School, London. He is a Fellow of the Securities Institute and a Fellow of the Global Association of Risk Professionals. Moorad’s published work includes journal articles and books. He is also co–author of the book The Global Money Markets, written with Professor Frank Fabozzi. Moorad obtained an MA in Economics from the University of Reading and an MBA from Henley Management College. He is in the process of completing his PhD from Birkbeck, University of London. He is Editor of the Journal of Bond Trading and Management. 

Contents of Analysing and Interpreting the Yield Curve

Foreword
Preface

PART I: INTRODUCTION TO BOND YIELD AND THE YIELD CURVE

1. Bond Yield Measurement
2. The Yield Curve
3. A Further Look at Spot and Forward Rates


PART II: YIELD CURVE MODELING

4. Interest Rate Modeling Part I: An Introduction to Basic Concepts
5. Interest Rate Modeling Part II: Dynamics of Asset Prices
6. Interest Rate Models: Part I
7. Interest Rate Models: Part II
8. The Index-linked Bond Yield Curve
9. Analysing the Long Bond Yield


PART III: FITTING THE YIELD CURVE

10. Estimating and Fitting the Curve: Part I
11. Estimating and Fitting the Curve: Part II


PART IV: THE YIELD CURVE AND RELATIVE-VALUE TRADING

12. Yield Curves and Relative Value
13. Approaches to Yield Spread Trading Using Government Bonds

Index