Moorad Choudhry

Fixed-Income Securities and Derivatives Handbook (eBook, PDF)

Analysis and Valuation

• Format: PDF

Produktbeschreibung

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.

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Produktdetails

• Verlag: John Wiley & Sons
• Seitenzahl: 496
• Erscheinungstermin: 24. Mai 2010
• Englisch
• ISBN-13: 9780470879078
• Artikelnr.: 37299765

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.