Fixed-Income Securities and Derivatives Handbook (eBook, ePUB) - Choudhry, Moorad
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The definitive guide to fixed-come securities-revised to reflecttoday's dynamic financial environment The Second Edition of the Fixed-Income Securities andDerivatives Handbook offers a completely updated and revisedlook at an important area of today's financial world. In additionto providing an accessible description of the main elements of thedebt market, concentrating on the instruments used and theirapplications, this edition takes into account the effect of therecent financial crisis on fixed income securities andderivatives. As timely as it is timeless, the Second Edition of…mehr

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Produktbeschreibung
The definitive guide to fixed-come securities-revised to reflecttoday's dynamic financial environment The Second Edition of the Fixed-Income Securities andDerivatives Handbook offers a completely updated and revisedlook at an important area of today's financial world. In additionto providing an accessible description of the main elements of thedebt market, concentrating on the instruments used and theirapplications, this edition takes into account the effect of therecent financial crisis on fixed income securities andderivatives. As timely as it is timeless, the Second Edition of theFixed-Income Securities and Derivatives Handbook includes awealth of new material on such topics as covered and convertiblebonds, swaps, synthetic securitization, and bond portfoliomanagement, as well as discussions regarding new regulatory twistsand the evolving derivatives market. * Offers a more detailed look at the basic principles ofsecuritization and an updated chapter on collateralized debtobligations * Covers bond mathematics, pricing and yield analytics, and termstructure models * Includes a new chapter on credit analysis and the differentmetrics used to measure bond-relative value * Contains illustrative case studies and real-world examples ofthe topics touched upon throughout the book Written in a straightforward and accessible style, MooradChoudhry's new book offers the ideal mix of practical tips andacademic theory within this important field.

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  • Produktdetails
  • Verlag: John Wiley & Sons
  • Seitenzahl: 476
  • Erscheinungstermin: 01.06.2010
  • Englisch
  • ISBN-13: 9780470911112
  • Artikelnr.: 37300347
Autorenporträt
Moorad Choudhry (Surrey, UK) is head of treasury at Europe Arab Bank plc in London. Previously, he was head of treasury at KBC Financial Products, and a vice president in Structured Finance Service at JPMorgan Chase Bank. Prior to that, he was a sterling proprietary trader at Hambros Bank Limited and gilt-edged market maker and money markets trader at ABN Amro Hoare Govett Ltd. Choudhry is visiting professor at the Department of Economics, London Metropolitan University and a visiting research fellow at the ICMA Centre, University of Reading. He was educated at the University of Westminster and the University of Reading. He obtained his MBA from Henley Management School and his PhD from Birkbeck, University of London. He has written several books on the credit markets.
Inhaltsangabe
Foreword. Preface. PART ONE: INTRODUCTION TO BONDS. 1 The Bond Instrument. The Time Value of Money. Bond Pricing and Yield: The Traditional Approach. Accrued Interest. 2 Bond Instruments and Interest Rate Risk. Duration, Modifi ed Duration, and Convexity. 3 Bond Pricing and Spot and Forward Rates. Zero
Coupon Bonds. Coupon Bonds. Bond Price in Continuous Time. Forward Rates. Term Structure Hypotheses. 4 Interest Rate Modeling. Basic Concepts. One
Factor Term
Structure Models. Further One
Factor Term
Structure Models. Choosing a Term
Structure Model. 5 Fitting the Yield Curve. Non
Parametric Methods. Comparing Curves. Fitting the Term Structure of Interest Rates: The Practical Implementation of Cubic Spline Methodology. Cubic Spline Methodology. The Hypothesis. Practical Approach. A Look at Forward Rates. Conclusion. PART TWO: SELECTED CASH AND DERIVATIVE INSTRUMENTS. 6 Forwards and Futures Valuation. Forwards and Futures. Forward
Spot Parity. The Basis and Implied Repo Rate. 7 Swaps. Interest Rate Swaps. Generic Swap Valuation. Non
Plain Vanilla Interest Rate Swaps. Interest Rate Swap Applications. 8 Options. Option Basics. Option Instruments. Option Pricing: Setting the Scene. Option Pricing. The Black
Scholes Option Model. Other Option Models. 9 Measuring Option Risk. Option Price Behavior. The Greeks. The Option Smile. Caps and Floors. 10 Credit Derivatives. Credit Risk. Credit Risk and Credit Derivatives. Credit Derivative Instruments. Investment Applications. Credit Derivatives and Relative Value Trading. Credit
Derivative Pricing. 11 The Analysis of Bonds with Embedded Options. 12 Option
Adjusted Spread Analysis. 13 Convertible Bonds. Basic Features. Advantages of Issuing and Holding Convertibles. Convertible Bond Valuation. Pricing Spreadsheet. 14 Infl ation
Indexed Bonds. Basic Concepts. Index
Linked Bond Cash Flows and Yields. Analysis of Real Interest Rates. 15 Securitization and Asset
Backed Securities. The Concept of Securitization. The Process of Securitization. Securitizing Mortgages. Cash Flow Patterns. ABS Structures: A Primer on Performance Metrics and Test Measures. Securitization: Features of the 2007
2009 Financial Crisis. 16 Collateralized Debt Obligations. CDO Structures. Motivation Behind CDO Issuance. Analysis and Evaluation. Expected Loss. CDO Market Overview Since 2005. PART THREE: SELECTED MARKET TRADING CONSIDERATIONS. 17 The Yield Curve, Bond Yield, and Spot Rates. Practical Uses of Redemption Yield and Duration. Illustrating Bond Yield Using a Microsoft Excel Spreadsheet. Implied Spot Rates and Market Zero
Coupon Yields. Implied Spot Yields and Zero
Coupon Bond Yields. Determining Strip Values. Strips Market Anomalies. Strips Trading Strategy. Case Study: Treasury Strip Yields and Cash Flow Analysis. 18 Approaches to Trading. Futures Trading. Yield Curves and Relative Value. Characterizing the Complete Term Structure. Hedging Bond Positions. Summary of the Derivation of the Optimum
Hedge Equation. 19 Credit Analysis and Relative Value Measurement. Credit Ratings. Credit Analysis. Industry
Specifi c Analysis. The Art of Credit Analysis. Bond Spreads and Relative Value. Appendix I: The Black
Scholes Model in Microsoft Excel. Appendix II: Iterative Formula Spreadsheet. Appendix III: Pricing Spreadsheet. References. About the Author. Index.