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An Introduction to Bond Markets, Fourth Edition

Book Description

The bond markets are a vital part of the world economy. The fourth edition of Professor Moorad Choudhry's benchmark reference text An Introduction to Bond Markets brings readers up to date with latest developments and market practice, including the impact of the financial crisis and issues of relevance for investors. This book offers a detailed yet accessible look at bond instruments, and is aimed specifically at newcomers to the market or those unfamiliar with modern fixed income products. The author capitalises on his wealth of experience in the fixed income markets to present this concise yet in-depth coverage of bonds and associated derivatives.

Topics covered include:

  • Bond pricing and yield

  • Duration and convexity

  • Eurobonds and convertible bonds

  • Structured finance securities

  • Interest-rate derivatives

  • Credit derivatives

  • Relative value trading

Related topics such as the money markets and principles of risk management are also introduced as necessary background for students and practitioners. The book is essential reading for all those who require an introduction to the financial markets.

Table of Contents

  1. The Chartered Institute for Securities & Investment
  2. Title Page
  3. Copyright Page
  4. Dedication
  5. Foreword
  6. PREFACE
  7. PREFACE TO THE FIRST EDITION
  8. ABOUT THE AUTHOR
  9. Epigraph
  10. Chapter 1 - INTRODUCTION TO BONDS
    1. DESCRIPTION
    2. OUTLINE OF MARKET PARTICIPANTS
    3. BOND ANALYSIS
    4. BOND PRICING AND YIELD: THE TRADITIONAL APPROACH
    5. ACCRUED INTEREST
    6. ILLUSTRATING BOND YIELD USING EXCEL SPREADSHEETS
    7. BIBLIOGRAPHY
  11. Chapter 2 - THE YIELD CURVE, SPOT AND FORWARD YIELDS
    1. THE YIELD CURVE
    2. THE FORWARD YIELD CURVE
    3. SPOT RATES
    4. THE BOOT-STRAPPING METHOD: DERIVING THE THEORETICAL ZERO-COUPON (SPOT) RATE CURVE
    5. THE TERM STRUCTURE OF INTEREST RATES
    6. BIBLIOGRAPHY
  12. Chapter 3 - BOND INSTRUMENTS AND INTEREST-RATE RISK
    1. DURATION, MODIFIED DURATION AND CONVEXITY
    2. BIBLIOGRAPHY
  13. Chapter 4 - FLOATING-RATE NOTES AND OTHER BOND INSTRUMENTS
    1. FLOATING-RATE NOTES
    2. SYNTHETIC CONVERTIBLE NOTE
    3. INTEREST DIFFERENTIAL NOTES
    4. CONVERTIBLE QUANTO NOTE
    5. BIBLIOGRAPHY
  14. Chapter 5 - THE MONEY MARKETS
    1. INTRODUCTION
    2. SECURITIES QUOTED ON A YIELD BASIS
    3. SECURITIES QUOTED ON A DISCOUNT BASIS
    4. COMMERCIAL PAPER
    5. REPO
    6. Appendix 5.A CURRENCIES USING MONEY MARKET YEAR BASE OF 365 DAYS
  15. Chapter 6 - THE EUROBOND MARKET
    1. EUROBONDS
    2. FOREIGN BONDS
    3. EUROBOND INSTRUMENTS
    4. THE ISSUE PROCESS: MARKET PARTICIPANTS
    5. FEES, EXPENSES AND PRICING
    6. ISSUING THE BOND
    7. COVENANTS
    8. TRUST SERVICES
    9. FORM OF THE BOND
    10. CLEARING SYSTEMS
    11. MARKET ASSOCIATIONS
    12. BLOOMBERG SCREENS
    13. SECONDARY MARKET
    14. SETTLEMENT
    15. BIBLIOGRAPHY
  16. Chapter 7 - CONVERTIBLE BONDS, MTNs AND WARRANTS
    1. DESCRIPTION
    2. VALUE AND PREMIUM ISSUES
    3. WARRANTS
    4. MEDIUM-TERM NOTES
  17. Chapter 8 - CREDIT RATINGS
    1. CREDIT RATINGS
  18. Chapter 9 - INFLATION-LINKED BONDS
    1. BASIC CONCEPTS
    2. INDEX-LINKED BOND CASH FLOWS AND YIELDS
    3. INFLATION-INDEXED DERIVATIVES
    4. BIBLIOGRAPHY
  19. Chapter 10 - AN INTRODUCTION TO ASSET-BACKED SECURITIES
    1. THE CONCEPT OF SECURITISATION
    2. THE PROCESS OF SECURITISATION
    3. ILLUSTRATING THE PROCESS OF SECURITISATION
    4. BLOOMBERG SCREENS
    5. BIBLIOGRAPHY
  20. Chapter 11 - INTRODUCTION TO DERIVATIVE INSTRUMENTS
    1. INTEREST-RATE SWAPS
    2. CROSS-CURRENCY SWAPS
    3. FUTURES CONTRACTS
    4. THE HEDGE RATIO
    5. INTEREST-RATE OPTIONS
    6. BIBLIOGRAPHY
  21. Chapter 12 - INTRODUCTION TO CREDIT DERIVATIVES
    1. INTRODUCTION
    2. ASSET SWAPS
    3. CREDIT DEFAULT SWAPS
    4. CREDIT-LINKED NOTES
    5. TOTAL RETURN SWAPS
    6. CREDIT OPTIONS
    7. THE CDS ITRAXX INDEX
    8. GENERAL APPLICATIONS OF CREDIT DERIVATIVES
    9. THE CREDIT DEFAULT SWAP BASIS
    10. BIBLIOGRAPHY
  22. Chapter 13 - APPROACHES TO GOVERNMENT BOND TRADING AND YIELD ANALYSIS
    1. INTRODUCTION
    2. COUPON SPREADS
    3. BUTTERFLY TRADES
    4. BLOOMBERG SCREENS
    5. BOND SPREADS AND RELATIVE VALUE
    6. BIBLIOGRAPHY
  23. Chapter 14 - RISK MANAGEMENT AND VALUE-AT-RISK
    1. CHARACTERISING RISK
    2. RISK MANAGEMENT
    3. INTEREST-RATE RISK
    4. VALUE-AT-RISK
    5. VaR METHODOLOGY FOR CREDIT RISK
    6. BIBLIOGRAPHY
  24. GLOSSARY
  25. ABBREVIATIONS
  26. INDEX