Foreword; Preface; Introduction to bonds - Intro to bonds; Financial market arithmetic; The pricing of bonds; Bond yields; Review of bond market instruments; The yield curve; Price, yield and interest rate risk I; Price, yield and interest rate risk II; Price, yield and interest rate III; Price, yield and interest rate IV; Government bond markets - The gilt market; The US treasury market; International bond markets; Corporate debt markets - Corporate bonds I; Callable bonds and OAS analysis; Convertible bond markets I; Convertible bond markets II; The Eurobond market I; The Eurobond market II; Warrants; MTNs; Commercial paper; Prefs; US Municipal; Asset backed bonds I; Mortgage backed bonds II; Asset backed bonds III; High-yield bonds; Credit analysis; The money markets - Money markets; Capital and regulatory requirements; Asset and liability management; Repo; Money market derivative; Risk management - Intro to risk; VaR; Fixed income modelling; Derivative instruments - Swaps I; Swaps II; Bond futures; Options I; Stochastic processes; Option pricing; The binomial model; Bond option models; The Greeks; Strategy and uses; Exotic options; Trading and hedging - Trading and hedging; Advanced fixed income analytics; Modelling; Yield curve modelling I; Yield curve modelling II; Estimating and fitting the yield curve; I-L bonds analysis; Pricing long-dated bonds; Portfolio management - International investing; Constructing bond indices; Technical analysis - Technical analysis; Introduction to credit derivatives - Credit derivatives; Emerging markets - Brady bonds; International investing; Concluding remarks.
Bond and Money Markets: Strategy, Trading, Analysis explains and analyses all aspects of the bond and money markets and is both an introduction for newcomers and an advanced text for experienced market practitioners and graduate students. Those with experience of the industry at all levels will find the book invaluable as a standard reference work.
The book features coverage of:
- Government and Corporate bonds, Eurobonds, callable bonds, convertibles
- Asset-backed bonds including mortgages and CDOs
- Derivative instruments including bond futures, swaps, options, structured products, and option valuation models
- Interest-rate risk, duration analysis, convexity, and the convexity bias
- The money markets, repo markets, basis trading, and asset / liability management
- Term structure models, estimating and interpreting the yield curve
- Portfolio management, including total return framework, portfolio strategies, and constructing bond indices
and valuable insight into:
- Trading and hedging strategy
- Charting and technical analysis
- The latest market developments, such as value-at-risk, and credit derivatives
- Emerging markets and the benefits of international investment
The Bond and Money Markets: Strategy, Trading, Analysis is aimed at a wide readership including bond salespersons, traders, corporate financiers and graduate trainees, as well as risk managers, operations professionals and business analysts. Other market participants including fund managers, corporate treasurers, management consultants, regulators and financial journalists will also find the content useful.
- This book is virtually a stand alone reference book on interest rate swaps, the money markets, financial market mathematics, interest-rate futures and technical analysis
- Includes some introductory coverage of very specialised topics (for which one requires specialised texts) such as VaR, Asset & liability management, credit derivatives
- Combines accessible style with advanced level topics, plus review of latest research
Professionals in Financial Services including Investment Bankers, Traders, Structured Financiers, Research Analysts, Fund Managers, Corporate Treasurers. As a reference book for students studying for Business and Finance related postgraduate degrees
- No. of pages:
- © Butterworth-Heinemann 2001
- 3rd May 2001
- Hardcover ISBN:
- eBook ISBN:
"Moorad is a master of his subject. He is a rare financial markets author, in being both highly readable and yet still informative to practitioners... The reader will come to treat this book as his bible." --David Wileman, CEO, King & Shaxson Bond Brokers Limited, Old Mutual plc.
"Choudhry has managed to combine the clarity of explanation vital to students of the subject with sufficient content and detail to ensure that even the experienced practitioner will find this book an invaluable asset." --Martin Barber, Partner, Financial Services, KPMG Consulting
"A fantastic achievement and set to become the premier reference on global debt capital markets...a superlative and enthusiastic contribution to the financial economics literature." --Daniel Shakhani, Global Credit Strategy, Goldman Sachs International
"The book explains and analyses all aspects of the bond and money markets and is both an introduction for newcomers and an advanced text for experienced market practitioners and graduate students. Those with experience of the industry at all levels will find the book invaluable as a standard reference work." --Securities & Investment Review, July-Aug 2001
Moorad Choudhry is Chief Executive Officer, Habib Bank Zurich PLC in London, and Visiting Professor at the Department of Mathematical Sciences, Brunel University. Previously he was Head of Treasury of the Corporate Banking Division, Royal Bank of Scotland. Prior to joining RBS, he was a bond trader and structured finance repo trader at KBC Financial Products, ABN Amro Hoare Govett Limited and Hambros Bank Limited. He has a PhD from Birkbeck, University of London and an MBA from Henley Business School. Moorad lives in Surrey, England.
Chief Executive Officer, Habib Bank Zurich PLC and Visiting Professor at the Department of Mathematical Sciences, Brunel University.