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Moorad Choudhry - Fixed Income Securities and Derivatives Handbook Analysis and Valuation

The market in bond market securities, also known as the fixed income market, is incredibly large and diverse, and one that plays an irreplaceable part in global economic development. The vast majority of securities in the world today are debt instruments, with an outstanding volume estimated at more than $10 trillion. Fixed-Income Securities and Derivatives Handbook provides a concise and accessible description of the main elements of the markets, concentrating on the instruments used and their applications. As it has been designed to be both succinct and concise, the major issues are introduced and described, and where appropriate certain applications are also analyzed. Part One, “Introduction to Bonds,” includes a detailed treatment of bond mathematics, including pricing and yield analytics. This includes modified duration and convexity. Chapters also cover the concept of the spot (zero-coupon) and forward rates, and the rates implied by market bond prices and yields; yield-curve fitting techniques; an account of spline fitting using regression techniques; and an introductory discussion of term structure models. Part Two, “Selected Cash and Derivative Instruments,” has an analysis of various instruments including callable bonds that feature embedded options. There is also a discussion of mortgage-backed securities, techniques used in the analysis of U.S. Treasury TIPS securities, and a section on the use and applications of credit derivatives by participants in the fixed income markets. Finally, Part Three, “Selected Market Trading Considerations,” covers the practical uses of redemption yield and duration as well as trading techniques based on the author’s personal experience. This book is designed to be a good starting place for those with little or no previous understanding of or exposure to the bond markets; however, it also investigates the markets to sufficient depth to be of use to the more experienced practitioner. Readers who are part of a front office, middle office, or back-office banking and fund management staff involved to some extent with fixed-income securities will also find value here. Corporate

Preface and local authority treasurers, bank auditors and consultants, risk managers, and legal department staff may also find the book useful. Fixed-Income Securities and Derivatives Handbook builds on the content of the author’s earlier book, Bond Market Securities (FT Prentice Hall, 2001), and includes an updated treatment of credit derivatives and synthetic structured products, a detailed analysis of bond futures, and case studies specific to the U.S. market. A very detailed treatment of specific markets, exchanges, or trading conventions is left out, as that would result in a very large book; interested readers can access the References section at the back of the book. Where possible these references are indicated for their level of analysis and technical treatment.

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