Fixed Income Analytics
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Fixed Income Analytics

Fixed Income Analytics


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About the Book

Table of Contents:
Part 1 Yield and duration: invoice prices, cash flows and yields on treasury bonds; zero coupon strips and custodial receipts; duration - an introduction to the concept and its uses; the effect of interest payments on the duration of a bond - implications for portfolio management and yield curve analysis; rate of return and futurity of cash flow from a bond - are yield and duration good measures?; bond convexity and its implications for immunization. Part 2 Yield curves and relative value: the structure of treasury yields - duration, coupon and liquidity effects; coupon rolls; treasury bills with special value; comparing yields on zeros to yields on treasury bonds. Part 3 Bond portfolio management when the shape of the yield curve changes: yield spread trades - weighting, financing and applications; hedging in the treasury bond market - implications of imperfect correlation and nonuniform volatility of yield changes for the size and an optimal hedge; approximating the yield on a portfolio of bonds - value-weighted averages versus value of a basis point-weighted averages; butterfly trades - a critical assessment of yield, convexity and risk; managing yield curve risk - a generalized approach to immunization. Part 4 Modes of fluctuation of the yield curve: modes of fluctuation in bond yields - an analysis of principal components; polynomial representations of the yield curve and its modes of fluctuation; consistency between the shape of the yield curve and its modes of fluctuation; pricing claims whose payments are contingent on interest rates; time variation in the modes of fluctuation of the spot treasury yield curve.

About the Author :
Kenneth D. Garbade is Senior Vice President, Money and Payments Studies Function, Research and Statistics Group, at the Federal Reserve Bank of New York. He is the author of Fixed Income Analytics (1996), Pricing Corporate Securities as Contingent Claims (2001), both published by the MIT Press, and other books.

Review :
"I am convinced that the ideal text for an introduction to fixed-income analytics has been written... in a series of Bankers Trust working papers principally authored by Kenneth Garbade... [that] provide mathematically rigorous and self-contained gems on everything from the ideal way to define true yield to how best to compute the yield on a portfolio of bonds." Arthur D. Warga, Journal of Finance "Fixed Income Analytics is an outstanding combination of theprecision of academics with the institutional detail of the real world.It is required reading for any serious MBA student." William L. Silber, Professor of Finance and Economics,New York University


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Product Details
  • ISBN-13: 9780262071765
  • Publisher: MIT Press Ltd
  • Publisher Imprint: MIT Press
  • Height: 254 mm
  • Returnable: N
  • Weight: 1203 gr
  • ISBN-10: 0262071762
  • Publisher Date: 20 Nov 1996
  • Binding: Hardback
  • Language: English
  • Spine Width: 35 mm
  • Width: 178 mm


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