9780750662635

Advanced Fixed Income Analysis

by
  • ISBN13:

    9780750662635

  • ISBN10:

    0750662638

  • Format: Hardcover
  • Copyright: 2004-07-28
  • Publisher: Elsevier Science
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Summary

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 trading Approaches to trading and hedging Dynamic analysis of spot and forward rates Interest rate modelling Fitting the yield curve Analysing the long bond yield Index-linked bond analytics Corporate bond defaults

Author Biography

Moorad Choudhry is a Visiting Professor at the Department of Economics, Finance and International Business, London Metropolitan University, and a Senior Fellow at the Centre for Mathematical Trading and Finance, Cass Business School.

Table of Contents

Approaches to trading and hedgingp. 1
Relative value trading using government bondsp. 19
The dynamics of asset pricesp. 35
Interest-rate models Ip. 55
Interest-rate models IIp. 79
Estimating and fitting the term structure Ip. 97
Estimating and interpreting the term structure II : a practical implementation of the cubic spline methodp. 117
Advanced analytics for index-linked bondsp. 141
Analysing the long bond yieldp. 153
The default risk of corporate bondsp. 163
Brady bondsp. 169
Table of Contents provided by Blackwell. All Rights Reserved.

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