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Fixed Income Markets: Instruments, Applications, Mathematics
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  • Wiley

More About This Title Fixed Income Markets: Instruments, Applications, Mathematics

  • English

English

Moorad Choudhry is Head of Treasury at KBC Financial Products UK Limited in London. He previously worked as a government bond trader at ABN Amro Hoare Govett Limited and Hambros Bank Limited, and in structured finance with JPMorgan Chase Bank.
Moorad is a Visiting Professor at the Department of Economics, London Metropolitan University, and a Fellow of the Securities Institute in the City of London. He is co-editor with Professor Frank Fabozzi of The Handbook of European Fixed Income Securities.
  • English

English

Foreword.

Preface.

Acknowledgments.

About the Author.

PART I: INTRODUCTION TO BONDS.

Chapter 1. The bond instrument.

Chapter 2. Interest-rate risk.

Chapter 3. Pricing, spot and forward rates.

Chapter 4. Interest rate modelling.

Chapter 5. Yield curve fitting.

PART II: ELECTED MARKET INSTRUMENTS.

Chapter 6. Money markets.

Chapter 7. Hybrid securities.

Chapter 8. Analysis of callable bonds.

Chapter 9. Index-linked bonds.

Chapter 10. ABS and MBS intro.

Chapter 11. CDOs.

Chapter 12. Structured credit products.

PART III: DERIVATIVE INSTRUMENTS.

Chapter 13. Forwards and futures pricing.

Chapter 14. Bond futures.

Chapter 15. Swaps.

Chapter 16. SwapNote.

Chapter 17. Credit derivatives I.

Chapter 18. Credit derivatives II.

Chapter 19. Options I.

Chapter 20. Options II.

PART IV: BOND TRADING AND HEDGING.

Chapter 21. Value-at-risk and Credit VaR.

Chapter 22. Government bond analysis, the yield curve and relative-value trading.

Chapter 23. Approaches to trading and hedging.

Appendix A: Statistical concepts.

Appendix B: Basic tools.

Appendix C: Introduction to the mathematics of fixed income pricing.

Glossary.

Index.

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