Frank J. Fabozzi, Steven V. Mann

Introduction to Fixed Income Analytics (eBook, PDF)

Relative Value Analysis, Risk Measures and Valuation

• Format: PDF

Produktbeschreibung

A comprehensive introduction to the key concepts of fixed income analytics The First Edition of Introduction to Fixed Income Analytics skillfully covered the fundamentals of this discipline and was the first book to feature Bloomberg screens in examples and illustrations. Since publication over eight years ago, the markets have experienced cathartic change. That's why authors Frank Fabozzi and Steven Mann have returned with a fully updated Second Edition. This reliable resource reflects current economic conditions, and offers additional chapters on relative value analysis, value-at-risk measures and information on instruments like TIPS (treasury inflation protected securities). * Offers insights into value-at-risk, relative value measures, convertible bond analysis, and much more * Includes updated charts and descriptions using Bloomberg screens * Covers important analytical concepts used by portfolio managers Understanding fixed-income analytics is essential in today's dynamic financial environment. The Second Edition of Introduction to Fixed Income Analytics will help you build a solid foundation in this field.

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Produktdetails

• Verlag: John Wiley & Sons
• Seitenzahl: 496
• Erscheinungstermin: 21. September 2010
• Englisch
• ISBN-13: 9780470922071
• Artikelnr.: 37300444

Autorenporträt

FRANK J. FABOZZI, PHD, CFA, CPA, is Professor in the Practice of Finance and Becton Fellow at the Yale School of Management and Editor of the Journal of Portfolio Management. He is an Affiliated Professor at the University of Karlsruhe's Institute of Statistics, Econometrics, and Mathematical Finance and on the Advisory Council for the Department of Operations Research and Financial Engineering at Princeton University. STEVEN V. MANN, PHD, is Professor of Finance at the Moore School of Business, University of South Carolina. He has published over seventy articles in finance journals and many books on fixed income and derivatives topics, including The Global Money Markets, Measuring and Controlling Interest Rate and Credit Risk, Securities Finance (as a coeditor), and The Handbook of Fixed Income Securities (as an assistant editor). Mann is an active consultant to clients that include some of the largest investment/commercial banks in the world as well as a number of Fortune 500 companies.

Inhaltsangabe

Preface. About the Authors. Chapter 1 Time Value of Money. Future Value of
a Single Cash Flow. Present Value of a Single Cash Flow.
Compounding/Discounting When Interest Is Paid More Than Annually. Future
and Present Values of an Ordinary Annuity. Yield (Internal Rate of Return).
Concepts Presented in this Chapter. Appendix: Compounding and Discounting
in Continuous Time. Questions. Chapter 2 Yield Curve Analysis: Spot Rates
and Forward Rates. A Bond Is a Package of Zero-Coupon Instruments.
Theoretical Spot Rates. Forward Rates. Dynamics of the Yield Curve.
Concepts Presented in this Chapter. Questions. Chapter 3 Day Count
Conventions and Accrued Interest. Day Count Conventions. Computing the
Accrued Interest. Concepts Presented in this Chapter. Questions. Chapter 4
Valuation of Option-Free Bonds. General Principles of Valuation.
Determining a Bond's Value. The Price/Discount Rate Relationship. Time Path
of Bond. Valuing a Zero-Coupon Bond. Valuing a Bond Between Coupon
Payments. Traditional Approach to Valuation. The Arbitrage-Free Valuation
Approach. Concepts Presented in this Chapter. Questions. Chapter 5 Yield
Measures. Sources of Return. Traditional Yield Measures. Yield to Call.
Yield to Put. Yield to Worst. Cash Flow Yield. Portfolio Yield Measures.
Yield Measures for U.S. Treasury Bills. Yield Spread Measures Relative to a
Spot Rate Curve. Concepts Presented in this Chapter. Appendix: Mathematics
of the Internal Rate of Return. Questions. Chapter 6 Analysis of
Floating-Rate Securities. General Features of Floaters. Valuing a Risky
Floater Valuation of Floaters with Embedded Options. Margin Measures.
Concepts Presented in this Chapter. Questions. Chapter 7 Valuation of Bonds
with Embedded Options. Overview of the Valuation of Bonds with Embedded
Options. Option-Adjusted Spread and Option Cost. Lattice Model. Binomial
Model. Illustration. Concepts Presented in this Chapter. Questions. Chapter
8 Cash Flow for Mortgage-Backed Securities and Amortizing Asset-Backed
Securities. Cash Flow of Mortgage-Backed Securities. Amortizing
Asset-Backed Securities. Concepts Presented in this Chapter. Questions.
Chatper 9 Valuation of Mortgage-Backed and Asset-Backed Securities. Static
Cash Flow Yield Analysis. Monte Carlo Simulation/OAS. Concepts Presented in
this Chapter. Questions. Chapter 10 Analysis of Convertible Bonds. General
Characteristics of Convertible Bonds. Tools for Analyzing Convertibles.
Call and Put Features. Convertible Bond Arbitrage. Other Types of
Convertibles. Concepts Presented in this Chapter. Questions. Chapter 11
Total Return. Computing the Total Return. OAS-Total Return. Total Return to
Maturity. Total Return for a Mortgage-Backed Security. Portfolio Total
Return. Total Return Analysis for Multiple Scenarios. Concepts Presented in
this Chapter. Questions. Chapter 12 Measuring Interest Rate Risk. The Full
Valuation Approach. Price Volatility Characteristics of Bonds. Duration.
Other Duration Measures. Convexity. Price Value of a Basis Point. The
Importance of Yield Volatility. Concepts Presented in this Chapter.
Questions. Chapter 13 Value-at-Risk Measure and Extensions. Value-at-Risk.
Conditional Value at Risk. Concepts Presented in this Chapter. Questions.
Chatper 14 Analysis of Inflation-Protected Bonds. Breakeven Inflation rate.
Valuation of TIPS. Measuring Interest Rate Risk. Concepts Presented in this
Chapter. Questions. Chapter 15 The Tools of Relative Value Analysis. How
Portfolio Managers Add Value. Yield Spreads over Swap and Treasury Curves.
Asset Swaps. Credit Default Swaps. Concepts Presented in this Chapter.
Questions. Chapter 16 Analysis of Interest Rate Swaps. Description of an
Interest Rate Swap. Interpreting a Swap Position. Terminology, Conventions,
and Market Quotes. Valuing Interest Rate Swaps. Primary Determinants of
Swap Spreads. Dollar Duration of a Swap. Concepts Presented in this
Chapter. Questions. Chapter 17 Estimating Yield Volatility. Historical
Volatility. Implied Volatility. Forecasting Yield Volatility. Concepts
Presented in this Chapter. Questions. Index.