Bond and Money Markets
Strategy, Trading, Analysis
- 1st Edition - August 4, 2003
- Latest edition
- Author: Moorad Choudhry
- Language: English
The Bond and Money Markets is an invaluable reference to all aspects of fixed income markets and instruments. It is highly regarded as an introduction and an advanced text for pr… Read more
The Bond and Money Markets is an invaluable reference to all aspects of fixed income markets and instruments. It is highly regarded as an introduction and an advanced text for professionals and graduate students.Features comprehensive coverage of: * Government and Corporate bonds, Eurobonds, callable bonds, convertibles * Asset-backed bonds including mortgages and CDOs * Derivative instruments including futures, swaps, options, structured products* 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 and strategies,total return framework, constructing bond indices
* A stand alone reference book on interest rate swaps, the money markets, financial market mathematics, interest-rate futures and technical analysis * Includes introductory coverage of very specialised topics (for which one previously required several texts) such as VaR, Asset & liability management and credit derivatives * Combines accessible style with advanced level topics
As a reference book for students studying for Business and Finance related postgraduate degrees; MBA students; masters of finance students; those studying for professional qualifications such as CFA, ACT, IIMR, ACIB, Securities Institute, ACCA.
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.
- Edition: 1
- Latest edition
- Published: August 4, 2003
- Language: English
MC
Moorad Choudhry
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.
Affiliations and expertise
Chief Executive Officer, Habib Bank Zurich PLC and Visiting Professor at the Department of Mathematical Sciences, Brunel University.