Book description
The definitive guide to fixed-come securities-revised to reflect today's dynamic financial environment
The Second Edition of the Fixed-Income Securities and Derivatives Handbook offers a completely updated and revised look at an important area of today's financial world. In addition to providing an accessible description of the main elements of the debt market, concentrating on the instruments used and their applications, this edition takes into account the effect of the recent financial crisis on fixed income securities and derivatives.
As timely as it is timeless, the Second Edition of the Fixed-Income Securities and Derivatives Handbook includes a wealth of new material on such topics as covered and convertible bonds, swaps, synthetic securitization, and bond portfolio management, as well as discussions regarding new regulatory twists and the evolving derivatives market.
Offers a more detailed look at the basic principles of securitization and an updated chapter on collateralized debt obligations
Covers bond mathematics, pricing and yield analytics, and term structure models
Includes a new chapter on credit analysis and the different metrics used to measure bond-relative value
Contains illustrative case studies and real-world examples of the topics touched upon throughout the book
Written in a straightforward and accessible style, Moorad Choudhry's new book offers the ideal mix of practical tips and academic theory within this important field.
Table of contents
- Praise
- Title Page
- Copyright Page
- Foreword
- PREFACE
- PART ONE - INTRODUCTION TO BONDS
-
PART TWO - SELECTED CASH AND DERIVATIVE INSTRUMENTS
- CHAPTER 6 - Forwards and Futures Valuation
- CHAPTER 7 - Swaps
- CHAPTER 8 - Options
- CHAPTER 9 - Measuring Option Risk
- CHAPTER 10 - Credit Derivatives
-
CHAPTER 11 - The Analysis of Bonds with Embedded Options
- Understanding Option Elements Embedded in a Bond
- Basic Options Features
- Option Valuation
- The Call Provision
- The Binomial Tree of Short-Term Interest Rates
- Arbitrage-Free Pricing
- Options Pricing
- Risk-Neutral Pricing
- Recombining and Nonrecombining Trees
- Pricing Callable Bonds
- Price and Yield Sensitivity
- Measuring Bond Yield Spreads
- CHAPTER 12 - Option-Adjusted Spread Analysis
- CHAPTER 13 - Convertible Bonds
- CHAPTER 14 - Inflation-Indexed Bonds
- CHAPTER 15 - Securitization and Asset-Backed Securities
- CHAPTER 16 - Collateralized Debt Obligations
- PART THREE - SELECTED MARKET TRADING CONSIDERATIONS
- APPENDIX I - The Black-Scholes Model in Microsoft Excel
- APPENDIX II - Iterative Formula Spreadsheet
- APPENDIX III - Pricing Spreadsheet
- REFERENCES
- ABOUT THE AUTHOR
- INDEX
Product information
- Title: Fixed-Income Securities and Derivatives Handbook, Second Edition
- Author(s):
- Release date: August 2010
- Publisher(s): Bloomberg Press
- ISBN: 9781576603345
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