Advanced Fixed Income Analysis
- Moorad Choudhry, Chief Executive Officer, Habib Bank Zurich PLC and Visiting Professor at the Department of Mathematical Sciences, Brunel University.
- Michele Lizzio, Deloitte Financial Advisory
This book is aimed at experienced practitioners in the corporate bond markets and is a specialised text for investors and traders. The author relates from both personal experience as well as his own research to bring together subjects of practical importance to bond market practitioners. He introduces the latest techniques used for analysis and interpretation, including:Relative value tradingApproaches to trading and hedgingDynamic analysis of spot and forward ratesInterest rate modellingFitting the yield curveAnalysing the long bond yieldIndex-linked bond analyticsCorporate bond defaultsView full description
- Published: June 2004
- Imprint: BUTTERWORTH HEINEMANN
- ISBN: 978-0-7506-6263-5
An eagerly anticipated work that enables us to benefit from the author's knowledge and expertise as a practitioner and lecturer. Those of us involved in fixed income analytics will gain a great deal from reading this work. -- Rod Pienaar, Corporate and Investment Banking, Deutsche Bank
Table of ContentsApproaches to trading and hedging; Relative value trading using govt bonds; Dynamics of asset prices; Interest rate models I; Interest rate models II; Fitting the term structure; I-L bonds; Long bond yield; Default risk of corporate bonds; Brady bonds.