Fixed Income Securities And Derivatives Handbook

Author : Moorad Choudhry
Publisher : John Wiley & Sons
Page : 475 pages
File Size : 52,6 Mb
Release : 2010-05-18
Category : Business & Economics
ISBN : 9780470879078

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Fixed-Income Securities and Derivatives Handbook by Moorad Choudhry Pdf

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.

Author : Moorad Choudhry
Publisher : Unknown
Page : 128 pages
File Size : 53,8 Mb
Release : 2010
Category : Derivative securities
ISBN : OCLC:840836099

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Fixed-income Securities and Derivatives Handbook by Moorad Choudhry Pdf

Author : Pietro Veronesi
Publisher : John Wiley & Sons
Page : 630 pages
File Size : 40,9 Mb
Release : 2016-04-04
Category : Business & Economics
ISBN : 9781118709191

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Handbook of Fixed-Income Securities by Pietro Veronesi Pdf

A comprehensive guide to the current theories and methodologies intrinsic to fixed-income securities Written by well-known experts from a cross section of academia and finance, Handbook of Fixed-Income Securities features a compilation of the most up-to-date fixed-income securities techniques and methods. The book presents crucial topics of fixed income in an accessible and logical format. Emphasizing empirical research and real-life applications, the book explores a wide range of topics from the risk and return of fixed-income investments, to the impact of monetary policy on interest rates, to the post-crisis new regulatory landscape. Well organized to cover critical topics in fixed income, Handbook of Fixed-Income Securities is divided into eight main sections that feature: • An introduction to fixed-income markets such as Treasury bonds, inflation-protected securities, money markets, mortgage-backed securities, and the basic analytics that characterize them • Monetary policy and fixed-income markets, which highlight the recent empirical evidence on the central banks’ influence on interest rates, including the recent quantitative easing experiments • Interest rate risk measurement and management with a special focus on the most recent techniques and methodologies for asset-liability management under regulatory constraints • The predictability of bond returns with a critical discussion of the empirical evidence on time-varying bond risk premia, both in the United States and abroad, and their sources, such as liquidity and volatility • Advanced topics, with a focus on the most recent research on term structure models and econometrics, the dynamics of bond illiquidity, and the puzzling dynamics of stocks and bonds • Derivatives markets, including a detailed discussion of the new regulatory landscape after the financial crisis and an introduction to no-arbitrage derivatives pricing • Further topics on derivatives pricing that cover modern valuation techniques, such as Monte Carlo simulations, volatility surfaces, and no-arbitrage pricing with regulatory constraints • Corporate and sovereign bonds with a detailed discussion of the tools required to analyze default risk, the relevant empirical evidence, and a special focus on the recent sovereign crises A complete reference for practitioners in the fields of finance, business, applied statistics, econometrics, and engineering, Handbook of Fixed-Income Securities is also a useful supplementary textbook for graduate and MBA-level courses on fixed-income securities, risk management, volatility, bonds, derivatives, and financial markets. Pietro Veronesi, PhD, is Roman Family Professor of Finance at the University of Chicago Booth School of Business, where he teaches Masters and PhD-level courses in fixed income, risk management, and asset pricing. Published in leading academic journals and honored by numerous awards, his research focuses on stock and bond valuation, return predictability, bubbles and crashes, and the relation between asset prices and government policies.

Author : Frank J. Fabozzi,Steven V. Mann
Publisher : McGraw Hill Professional
Page : 1842 pages
File Size : 54,9 Mb
Release : 2012-01-06
Category : Business & Economics
ISBN : 9780071768467

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The Handbook of Fixed Income Securities, Eighth Edition by Frank J. Fabozzi,Steven V. Mann Pdf

Thoroughly revised and updated, the eighth edition of Frank Fabozzi's classic collection - filled with chapters written by the industry's most trusted, authoritative fixed income experts' delivers every updated fact and formula today's finance professional needs.

Author : Saied Simozar
Publisher : John Wiley & Sons
Page : 368 pages
File Size : 54,6 Mb
Release : 2015-06-15
Category : Business & Economics
ISBN : 9781119014140

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The Advanced Fixed Income and Derivatives Management Guide by Saied Simozar Pdf

A highly-detailed, practical analysis of fixed income management The Advanced Fixed Income and Derivatives Management Guide provides a completely novel framework for analysis of fixed income securities and portfolio management, with over 700 useful equations. The most detailed analysis of inflation linked and corporate securities and bond options analysis available;, this book features numerous practical examples that can be used for creating alpha transfer to any fixed income portfolio. With a framework that unifies back office operations, such as risk management and portfolio management in a consistent way, readers will be able to better manage all sectors of fixed income, including bonds, mortgages, credits, and currencies, and their respective derivatives, including bond and interest rate futures and options, callable bonds, credit default swaps, interest rate swaps, swaptions and inflation swaps. Coverage includes never-before-seen detail on topics including recovery value, partial yields, arbitrage, and more, and the companion website features downloadable worksheets that can be used for measuring the risks of securities based on the term structure models. Many theoretical models of the Term Structure of Interest Rates (TSIR) lack the accuracy to be used by market practitioners, and the most popular models are not mathematically stable. This book helps readers develop stable and accurate TSIR for all fundamental rates, enabling analysis of even the most complex securities or cash flow structure. The components of the TSIR are almost identical to the modes of fluctuations of interest rates and represent the language with which the markets speak. Examine unique arbitrage, risk measurement, performance attribution, and replication of bond futures Learn to estimate recovery value from market data, and the impact of recovery value on risks Gain deeper insight into partial yields, product design, and portfolio construction Discover the proof that corporate bonds cannot follow efficient market hypothesis This useful guide provides a framework for systematic and consistent management of all global fixed income assets based on the term structure of rates. Practitioners seeking a more thorough management system will find solutions in The Advanced Fixed Income and Derivatives Management Guide.

Author : Frank J. Fabozzi,Steven V. Mann,Francesco Fabozzi
Publisher : McGraw Hill Professional
Page : 1840 pages
File Size : 55,6 Mb
Release : 2021-07-09
Category : Business & Economics
ISBN : 9781260473902

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The Handbook of Fixed Income Securities, Ninth Edition by Frank J. Fabozzi,Steven V. Mann,Francesco Fabozzi Pdf

The definitive guide to fixed income securities―updated and revised with everything you need to succeed in today’s market The Handbook of Fixed Income Securities has been the most trusted resource for fixed income investing for decades, providing everything sophisticated investors need to analyze, value, and manage fixed income instruments and their derivatives. But this market has changed dramatically since the last edition was published, so the author has revised and updated his classic guide to put you ahead of the curve. With chapters written by the leading experts in their fields, The Handbook of Fixed Income Securities, Ninth Edition provides expert discussions about: Basics of Fixed Income Analytics Treasuries, Agency, Municipal, and Corporate Bonds Mortgage-Backed and Asset-Backed Securities The Yield Curve and the Term Structure Valuation and Relative Value Credit Analysis Portfolio Management and Strategies Derivative Instruments and their Applications Performance Attribution Analysis The Handbook of Fixed Income Securities is the most inclusive, up-to-date source available for fixed income facts and analyses. Its invaluable perspective and insights will help you enhance investment returns and avoid poor performance in the fixed income market.

Author : Frank J. Fabozzi,Irving M. Pollack
Publisher : McGraw-Hill Professional Publishing
Page : 1414 pages
File Size : 45,5 Mb
Release : 1987
Category : Bonds
ISBN : OSU:32435054237417

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The Handbook of Fixed Income Securities by Frank J. Fabozzi,Irving M. Pollack Pdf

Author : Frank J. Fabozzi,Moorad Choudhry
Publisher : John Wiley & Sons
Page : 992 pages
File Size : 40,8 Mb
Release : 2004-02-03
Category : Business & Economics
ISBN : 9780471649519

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The Handbook of European Fixed Income Securities by Frank J. Fabozzi,Moorad Choudhry Pdf

A well-rounded guide for those interested in European financial markets With the advent of the euro and formation of the European Union, financial markets on this continent are slowly beginning to gain momentum. Individuals searching for information on these markets have come up empty-until now. The Handbook of European Fixed Income Markets is the first book written on this burgeoning market. It contains extensive, in-depth coverage of every aspect of the current European fixed income markets and their derivatives. This comprehensive resource includes both a qualitative approach to products, conventions, and institutions as well as quantitative coverage of valuation and analysis of each instrument. The Handbook of European Fixed Income Markets introduces readers to developed markets such as the U.K., France, Germany, Italy, Spain, and Holland, as well as emerging markets in Eastern Europe. Government and corporate bond market instruments and institutions are also discussed. U.S.-based investors, researchers, and academics as well as students and financial professionals in other parts of the world will all turn to this book for complete and accurate information on European financial instruments and markets. Frank J. Fabozzi (New Hope, PA) is a financial consultant, the Editor of the Journal of Portfolio Management, and Adjunct Professor of Finance at Yale University's School of Management. Moorad Choudhry (Surrey, UK) is a Vice President with JPMorgan Chase structured finances services in London.

Author : Moorad Choudhry,David Moskovic,Max Wong
Publisher : John Wiley & Sons
Page : 640 pages
File Size : 51,6 Mb
Release : 2014-06-17
Category : Business & Economics
ISBN : 9781118171752

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Fixed Income Markets by Moorad Choudhry,David Moskovic,Max Wong Pdf

A comprehensive, in-depth look at global debt capital markets inthe post-crisis world Fully updated with comprehensive coverage of the post-crisisdebt markets and their impact on key industry issues, FixedIncome Markets: Management, Trading, and Hedging, SecondEdition offers insights into derivative pricing, cross-currencyhedging, and new liquidity legislation. Written by Choudhry,Moskovic, and Wong, Fixed Income Markets is an indispensableread for anyone working in bond markets, interest-rate markets, andcredit derivatives markets looking to better understand today'sdebt markets. This acclaimed book takes a unique look into the leadingpractices in bond markets as well as post-credit-crunch impacts onpricing that are rarely captured in textbooks. The new editionprovides expanded coverage on a wide range of topics withinhedging, derivatives, bonds, rebalancing, and global debt capitalmarkets. New topics include: Dynamic hedging practices and cross-currency hedging Collateralized and uncollateralized derivatives, and theirimpact on valuation Callable bonds, pricing, trading, and regulatory aspectsrelated to liquidity Rebalancing as a method for capturing contingencies and othercomplex imbedded risks As a bonus, the book includes reference information forstatistical concepts and fixed income pricing, as well as a fullglossary and index. Written in Choudhry's usual accessible style,Fixed Income Markets is a comprehensive and in-depth accountof the global debt capital markets in today's post-crisisworld.

Author : Frank Fabozzi,Frank J. Fabozzi
Publisher : McGraw Hill Professional
Page : 15 pages
File Size : 49,5 Mb
Release : 2005-04-15
Category : Business & Economics
ISBN : 9780071715430

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The Handbook of Fixed Income Securities, Chapter 47 - Bond Immunization: An Asset/Liability Optimization Strategy by Frank Fabozzi,Frank J. Fabozzi Pdf

From The Handbook of Fixed Income Securities--the most authoritative, widely read reference in the global fixed income marketplace--comes this sample chapter. This comprehensive survey of current knowledge features contributions from leading academics and practitioners and is not equaled by any other single sourcebook. Now, the thoroughly revised and updated seventh edition gives you the facts and formulas you need to compete in today's transformed marketplace. It places increased emphasis on applications, electronic trading, and global portfolio management.

Author : Suresh M. Sundaresan
Publisher : Academic Press
Page : 435 pages
File Size : 49,6 Mb
Release : 2009
Category : Business & Economics
ISBN : 0123704715

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Fixed Income Markets and Their Derivatives by Suresh M. Sundaresan Pdf

The third edition of this well-respected textbook matches well with fixed income securities courses, and continues the tradition of providing clear and concise explanations for fixed income securities, pricing, and markets. The book's organization allows instructors to customize the material to suit their courses and the mathematical ability of their students. Suresh Sundaresan has revised the book to reflect extensive feedback from users of the second edition.

Author : Mark Britten-Jones
Publisher : Elsevier
Page : 220 pages
File Size : 50,7 Mb
Release : 1998-10-15
Category : Business & Economics
ISBN : 9780080506548

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Fixed Income and Interest Rate Derivative Analysis by Mark Britten-Jones Pdf

Fixed Income and Interest Rate Derivative Analysis gives a clear and accessible approach to the analytical techniques of debt instrument valuation. Without using complicated mathematical abstractions, this text shows that the fundamentals of fixed income and interest rate derivate analysis can be easily understood when seen as a small number of simple economic concepts. Concepts inroduced in this book are reinforced and explained, not with the use of high-powered mathematics, but with actual examples of various market instruments and case studies from North America, Europe, Australia and Hong Kong. The text also contains review questions which aid the reader in their understanding. Mark Britten-Jones, BEcon, MA, PhD, is an Assistant Professor of Finance at the London Business School where he teaches Fixed Income Securities and Markets as part of a MBA and Master's course in Finance. A comprehensive and accessible explanation of underlying theory, and its practical application Case studies and worked examples from around the world's capital markets How to use spreadsheet modelling in fixed income and interest rate derivative valuation

Author : Pietro Veronesi
Publisher : John Wiley & Sons
Page : 845 pages
File Size : 41,7 Mb
Release : 2010-01-12
Category : Business & Economics
ISBN : 9780470109106

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Fixed Income Securities by Pietro Veronesi Pdf

The deep understanding of the forces that affect the valuation, risk and return of fixed income securities and their derivatives has never been so important. As the world of fixed income securities becomes more complex, anybody who studies fixed income securities must be exposed more directly to this complexity. This book provides a thorough discussion of these complex securities, the forces affecting their prices, their risks, and of the appropriate risk management practices. Fixed Income Securities, however, provides a methodology, and not a shopping list. It provides instead examples and methodologies that can be applied quite universally, once the basic concepts have been understood.

Author : Bruce Tuckman,Angel Serrat
Publisher : John Wiley & Sons
Page : 640 pages
File Size : 51,8 Mb
Release : 2011-10-13
Category : Business & Economics
ISBN : 9781118133965

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Fixed Income Securities by Bruce Tuckman,Angel Serrat Pdf

Fixed income practitioners need to understand the conceptualframeworks of their field; to master its quantitative tool-kit; andto be well-versed in its cash-flow and pricing conventions.Fixed Income Securities, Third Edition by Bruce Tuckman andAngel Serrat is designed to balance these three objectives. Thebook presents theory without unnecessary abstraction; quantitativetechniques with a minimum of mathematics; and conventions at auseful level of detail. The book begins with an overview of global fixed income marketsand continues with the fundamentals, namely, arbitrage pricing,interest rates, risk metrics, and term structure models to pricecontingent claims. Subsequent chapters cover individual markets andsecurities: repo, rate and bond forwards and futures, interest rateand basis swaps, credit markets, fixed income options, andmortgage-backed-securities. Fixed Income Securities, Third Edition is full ofexamples, applications, and case studies. Practically everyquantitative concept is illustrated through real market data. Thispractice-oriented approach makes the book particularly useful forthe working professional. This third edition is a considerable revision and expansion ofthe second. Most examples have been updated. The chapters on fixedincome options and mortgage-backed securities have beenconsiderably expanded to include a broader range of securities andvaluation methodologies. Also, three new chapters have been added:the global overview of fixed income markets; a chapter on corporatebonds and credit default swaps; and a chapter on discounting withbases, which is the foundation for the relatively recent practiceof discounting swap cash flows with curves based on money marketrates. [FOR THE UNIVERSITY EDITION] This university edition includes problems which students can useto test and enhance their understanding of the text.

Author : Frank Fabozzi,Frank J. Fabozzi
Publisher : McGraw Hill Professional
Page : 30 pages
File Size : 51,6 Mb
Release : 2005-04-15
Category : Business & Economics
ISBN : 9780071715379

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The Handbook of Fixed Income Securities, Chapter 40 - A Framework for Analyzing Yield-Curve Trades by Frank Fabozzi,Frank J. Fabozzi Pdf

From The Handbook of Fixed Income Securities--the most authoritative, widely read reference in the global fixed income marketplace--comes this sample chapter. This comprehensive survey of current knowledge features contributions from leading academics and practitioners and is not equaled by any other single sourcebook. Now, the thoroughly revised and updated seventh edition gives you the facts and formulas you need to compete in today's transformed marketplace. It places increased emphasis on applications, electronic trading, and global portfolio management.