Advanced Fixed Income Analysis

Moorad Choudhry , Michele Lizzio 지음

elsevier 2015년 09월 03일 출간

작품소개

책소개

Each new chapter of the Second Edition covers an aspect of the fixed income market that has become relevant to investors but is not covered at an advanced level in existing textbooks. This is material that is pertinent to the investment decisions but is not freely available to those not originating the products. Professor Choudhry??s method is to place ideas into contexts in order to keep them from becoming too theoretical. While the level of mathematical sophistication is both high and specialized, he includes a brief introduction to the key mathematical concepts.? This is a book on the financial markets, not mathematics, and he provides few derivations and fewer proofs. He draws on both his personal experience as well as his own research to bring together subjects of practical importance to bond market investors and analysts.

• Presents practitioner-level theories and applications, never available in textbooks
• Focuses on financial markets, not mathematics
• Covers relative value investing, returns analysis, and risk estimation

목차

1. Approaches to Trading and Hedging
2. Relative Value Trading Using Government Bonds
3. Dynamics of Asset Prices
4. Interest Rate Models I
5. Interest Rate Models II
6. Latest Developments in IR Models
7. Fitting the Term Structure
8. Term Structure Implementation
9. Multi-Currency Yield Curves
10. I-L bonds
11. Long Bond Yield
12. Default Risk of Corporate Bonds
13. Relative Value Measurement: Asset Swap Spreads
14. Cash Versus Synthetic Credit Trading and Portfolio Management
15. Impact of Collateralised Derivatives Funding and Management on Bond Portfolio Hedging and Returns Analysis

출판사 서평

"It is always welcome news when hearing of a new publication or edition from Professor Choudhry. The 2nd edition of Advanced Fixed Income Analysis maintains his always high standards, written in trademark accessible style that brings clarity to some of the more exotic analytical issues in fixed income markets. Highly recommended."? --Mohamoud Dualeh, Head of Product Development, Alizz Islamic Bank, Muscat

"A most worthwhile and long-awaited update, very informative and makes simple what is undoubtedly some arcane bond market technical features."? --Zhuoshi Liu, Economist, CIC International, Hong Kong

"A genuinely valuable handbook for the fixed income practitioner."? --Maira Chatziperou, Treasury Transaction Manager, Royal Bank of Scotland, London

"An invaluable reading for practitioners and advanced students in fixed income analysis. This book is well thought-out and provides a clear, concise and hands-on view of the complexities pervading fixed income instruments and derivatives. Topics are presented in a "user friendly" way, which helps getting a quick understanding of the matters. Highly recommended!"? --Giovanni Gaspardo, Partner, Deloitte Financial Advisory, Milan

"An excellent book that is improved, updated and simplified is always welcome in the libraries of the best professionals and advanced students. The second edition of Advanced Fixed Income Analysis is one of those books."? --Alberto Falini, Professor of Corporate Finance, University of Brescia, Milan

"Advanced Fixed Income Analysis clearly explains the critical concepts and advanced approaches in fixed income analysis. The topical coverage and rigor are well suited for experienced practitioners looking to refresh knowledge and stay up to date or university students who want to learn more about fixed income applications. This is a very useful book!"??--Gianluca Beltracchi, Associate Analyst, Moody`s