Über den Autor
MOORAD CHOUDHRY is Head of Treasury at Europe Arab Bank, a subsidiary of Arab Bank. He was previously at KBC Financial Products in London, the derivatives and convertible bond trading arm of KBC Bank N.V. Brussels. Prior to that, he was a vice president in structured finance services sales and marketing at JPMorgan Chase Bank, a sterling proprietary trader in the treasury division at Hambros Bank Ltd, and a gilt-edged market maker and money markets trader at ABN AMRO Hoare Govett Ltd.
Foreword.rnPreface.rnPART ONE: INTRODUCTION TO BONDS.rn1 The Bond Instrument.rnThe Time Value of Money.rnBond Pricing and Yield: The Traditional Approach.rnAccrued Interest.rn2 Bond Instruments and Interest Rate Risk.rnDuration, Modifi ed Duration, and Convexity.rn3 Bond Pricing and Spot and Forward Rates.rnZero-Coupon Bonds.rnCoupon Bonds.rnBond Price in Continuous Time.rnForward Rates.rnTerm Structure Hypotheses.rn4 Interest Rate Modeling.rnBasic Concepts.rnOne-Factor Term-Structure Models.rnFurther One-Factor Term-Structure Models.rnChoosing a Term-Structure Model.rn5 Fitting the Yield Curve.rnNon-Parametric Methods.rnComparing Curves.rnFitting the Term Structure of Interest Rates: The Practical Implementation of Cubic Spline Methodology.rnCubic Spline Methodology.rnThe Hypothesis.rnPractical Approach.rnA Look at Forward Rates.rnConclusion.rnPART TWO: SELECTED CASH AND DERIVATIVE INSTRUMENTS.rn6 Forwards and Futures Valuation.rnForwards and Futures.rnForward-Spot Parity.rnThe Basis and Implied Repo Rate.rn7 Swaps.rnInterest Rate Swaps.rnGeneric Swap Valuation.rnNon-Plain Vanilla Interest Rate Swaps.rnInterest Rate Swap Applications.rn8 Options.rnOption Basics.rnOption Instruments.rnOption Pricing: Setting the Scene.rnOption Pricing.rnThe Black-Scholes Option Model.rnOther Option Models.rn9 Measuring Option Risk.rnOption Price Behavior.rnThe Greeks.rnThe Option Smile.rnCaps and Floors.rn10 Credit Derivatives.rnCredit Risk.rnCredit Risk and Credit Derivatives.rnCredit Derivative Instruments.rnInvestment Applications.rnCredit Derivatives and Relative Value Trading.rnCredit-Derivative Pricing.rn11 The Analysis of Bonds with Embedded Options.rn12 Option-Adjusted Spread Analysis.rn13 Convertible Bonds.rnBasic Features.rnAdvantages of Issuing and Holding Convertibles.rnConvertible Bond Valuation.rnPricing Spreadsheet.rn14 Infl ation-Indexed Bonds.rnBasic Concepts.rnIndex-Linked Bond Cash Flows and Yields.rnAnalysis of Real Interest Rates.rn15 Securitization and Asset-Backed Securities.rnThe Concept of Securitization.rnThe Process of Securitization.rnSecuritizing Mortgages.rnCash Flow Patterns.rnABS Structures: A Primer on Performance Metrics and Test Measures.rnSecuritization: Features of the 2007-2009 Financial Crisis.rn16 Collateralized Debt Obligations.rnCDO Structures.rnMotivation Behind CDO Issuance.rnAnalysis and Evaluation.rnExpected Loss.rnCDO Market Overview Since 2005.rnPART THREE: SELECTED MARKET TRADING CONSIDERATIONS.rn17 The Yield Curve, Bond Yield, and Spot Rates.rnPractical Uses of Redemption Yield and Duration.rnIllustrating Bond Yield Using a Microsoft Excel Spreadsheet.rnImplied Spot Rates and Market Zero-Coupon Yields.rnImplied Spot Yields and Zero-Coupon Bond Yields.rnDetermining Strip Values.rnStrips Market Anomalies.rnStrips Trading Strategy.rnCase Study: Treasury Strip Yields and Cash Flow Analysis.rn18 Approaches to Trading.rnFutures Trading.rnYield Curves and Relative Value.rnCharacterizing the Complete Term Structure.rnHedging Bond Positions.rnSummary of the Derivation of the Optimum-Hedge Equation.rn19 Credit Analysis and Relative Value Measurement.rnCredit Ratings.rnCredit Analysis.rnIndustry-Specifi c Analysis.rnThe Art of Credit Analysis.rnBond Spreads and Relative Value.rnAppendix I: The Black-Scholes Model in Microsoft Excel.rnAppendix II: Iterative Formula Spreadsheet.rnAppendix III: Pricing Spreadsheet.rnReferences.rnAbout the Author.rnIndex.
The definitive guide to fixed-come securities-revised to reflect today's dynamic financial environmentrnThe Second Edition of the Fixed-Income Securities and Derivatives Handbook offers a completely updated and revised look at an important area of today's financial world. In addition to providing an accessible description of the main elements of the debt market, concentrating on the instruments used and their applications, this edition takes into account the effect of the recent financial crisis on fixed income securities and derivatives.rnAs timely as it is timeless, the Second Edition of the Fixed-Income Securities and Derivatives Handbook includes a wealth of new material on such topics as covered and convertible bonds, swaps, synthetic securitization, and bond portfolio management, as well as discussions regarding new regulatory twists and the evolving derivatives market.n* Offers a more detailed look at the basic principles of securitization and an updated chapter on collateralized debt obligationsn* Covers bond mathematics, pricing and yield analytics, and term structure modelsn* Includes a new chapter on credit analysis and the different metrics used to measure bond-relative valuen* Contains illustrative case studies and real-world examples of the topics touched upon throughout the bookrnWritten in a straightforward and accessible style, Moorad Choudhry's new book offers the ideal mix of practical tips and academic theory within this important field.