Introduction to Fixed Income Analytics - Relative Value Analysis, Risk Measures and Valuation

Informationen zum Autor FRANK J. FABOZZI, PhD, CFA, CPA, is Professor in the Practice of Finance and Becton Fellow at the Yale School of Management and Editor of the Journal of Portfolio Management. He is an Affiliated Professor at the University of Karlsruhe's Institute of Statistics, Econometrics, and Mathematical Finance and on the Advisory Council for the Department of Operations Research and Financial Engineering at Princeton University.STEVEN V. MANN, PhD, is Professor of Finance at the Moore School of Business, University of South Carolina. He has published over seventy articles in finance journals and many books on fixed income and derivatives topics, including The Global Money Markets, Measuring and Controlling Interest Rate and Credit Risk, Securities Finance (as a coeditor), and The Handbook of Fixed Income Securities (as an assistant editor). Mann is an active consultant to clients that include some of the largest investment/commercial banks in the world as well as a number of Fortune 500 companies. Klappentext With the Second Edition of Introduction to Fixed Income Analytics, Frank Fabozzi and Steven Mann return with a fully updated guide to the discipline of fixed income analysis. Written for both financial professionals and fixed income newcomers, this essential resource carefully covers the crucial elements of today's complex bond marketplace--from the various issues associated with investing in fixed income securities to the fundamentals of valuation and interest rate risk.Fabozzi and Mann offer invaluable fixed income insights, with discussions of relative value analysis and value-at-risk measures; analysis of mortgage-backed and asset-backed securities, convertible fixed income securities, and volatility estimation; and information on instruments like Treasury inflation-protected securities (TIPS). They also highlight one of the most popular systems relied upon by fixed income professionals--the Bloomberg Terminal--and tie in important analytics and functionality.The fixed income market is one of the largest in the world. It spans many sectors, from Treasuries to mortgages to high yield bonds. If you want to gain a firm understanding of the tools and techniques needed to succeed in this field, look no further than Introduction to Fixed Income Analytics, Second Edition. Zusammenfassung A comprehensive introduction to the key concepts of fixed income analytics The First Edition of Introduction to Fixed Income Analytics skillfully covered the fundamentals of this discipline and was the first book to feature Bloomberg screens in examples and illustrations. Inhaltsverzeichnis Preface.About the Authors.Chapter 1 Time Value of Money.Future Value of a Single Cash Flow.Present Value of a Single Cash Flow.Compounding/Discounting When Interest Is Paid More Than Annually.Future and Present Values of an Ordinary Annuity.Yield (Internal Rate of Return).Concepts Presented in this Chapter.Appendix: Compounding and Discounting in Continuous Time.Questions.Chapter 2 Yield Curve Analysis: Spot Rates and Forward Rates.A Bond Is a Package of Zero-Coupon Instruments.Theoretical Spot Rates.Forward Rates.Dynamics of the Yield Curve.Concepts Presented in this Chapter.Questions.Chapter 3 Day Count Conventions and Accrued Interest.Day Count Conventions.Computing the Accrued Interest.Concepts Presented in this Chapter.Questions.Chapter 4 Valuation of Option-Free Bonds.General Principles of Valuation.Determining a Bond's Value.The Price/Discount Rate Relationship.Time Path of Bond.Valuing a Zero-Coupon Bond.Valuing a Bond Between Coupon Payments.Traditional Approach to Valuation.The Arbitrage-Free Valuation Approach.Concepts Presented in this Chapter.Questions.Chapter 5 Yield Measures.Sources of Return.Traditional Yield Measures.Yield to Call.Yield to Put.Yield to Worst.Cash Flow Yield.Portfolio Yield Measures...

Inhaltsverzeichnis

Preface.
 
About the Authors.
 
Chapter 1 Time Value of Money.
 
Future Value of a Single Cash Flow.
 
Present Value of a Single Cash Flow.
 
Compounding/Discounting When Interest Is Paid More Than Annually.
 
Future and Present Values of an Ordinary Annuity.
 
Yield (Internal Rate of Return).
 
Concepts Presented in this Chapter.
 
Appendix: Compounding and Discounting in Continuous Time.
 
Questions.
 
Chapter 2 Yield Curve Analysis: Spot Rates and Forward Rates.
 
A Bond Is a Package of Zero-Coupon Instruments.
 
Theoretical Spot Rates.
 
Forward Rates.
 
Dynamics of the Yield Curve.
 
Concepts Presented in this Chapter.
 
Questions.
 
Chapter 3 Day Count Conventions and Accrued Interest.
 
Day Count Conventions.
 
Computing the Accrued Interest.
 
Concepts Presented in this Chapter.
 
Questions.
 
Chapter 4 Valuation of Option-Free Bonds.
 
General Principles of Valuation.
 
Determining a Bond's Value.
 
The Price/Discount Rate Relationship.
 
Time Path of Bond.
 
Valuing a Zero-Coupon Bond.
 
Valuing a Bond Between Coupon Payments.
 
Traditional Approach to Valuation.
 
The Arbitrage-Free Valuation Approach.
 
Concepts Presented in this Chapter.
 
Questions.
 
Chapter 5 Yield Measures.
 
Sources of Return.
 
Traditional Yield Measures.
 
Yield to Call.
 
Yield to Put.
 
Yield to Worst.
 
Cash Flow Yield.
 
Portfolio Yield Measures.
 
Yield Measures for U.S. Treasury Bills.
 
Yield Spread Measures Relative to a Spot Rate Curve.
 
Concepts Presented in this Chapter.
 
Appendix: Mathematics of the Internal Rate of Return.
 
Questions.
 
Chapter 6 Analysis of Floating-Rate Securities.
 
General Features of Floaters.
 
Valuing a Risky Floater
 
Valuation of Floaters with Embedded Options.
 
Margin Measures.
 
Concepts Presented in this Chapter.
 
Questions.
 
Chapter 7 Valuation of Bonds with Embedded Options.
 
Overview of the Valuation of Bonds with Embedded Options.
 
Option-Adjusted Spread and Option Cost.
 
Lattice Model.
 
Binomial Model.
 
Illustration.
 
Concepts Presented in this Chapter.
 
Questions.
 
Chapter 8 Cash Flow for Mortgage-Backed Securities and Amortizing Asset-Backed Securities.
 
Cash Flow of Mortgage-Backed Securities.
 
Amortizing Asset-Backed Securities.
 
Concepts Presented in this Chapter.
 
Questions.
 
Chatper 9 Valuation of Mortgage-Backed and Asset-Backed Securities.
 
Static Cash Flow Yield Analysis.
 
Monte Carlo Simulation/OAS.
 
Concepts Presented in this Chapter.
 
Questions.
 
Chapter 10 Analysis of Convertible Bonds.
 
General Characteristics of Convertible Bonds.
 
Tools for Analyzing Convertibles.
 
Call and Put Features.
 
Convertible Bond Arbitrage.
 
Other Types of Convertibles.
 
Concepts Presented in this Chapter.
 
Questions.
 
Chapter 11 Total Return.
 
Computing the Total Return.
 
OAS-Total Return.
 
Total Return to Maturity.
 
Total Return for a Mortgage-Backed Security.
 
Portfolio Total Return.
 
Total Return Analysis for Multiple Scenarios.
 
Concepts Presented in this Chapter.
 
Questions.
 
Chapter 12 Measuring

Zusammenfassung

A comprehensive introduction to the key concepts of fixed income analytics

The First Edition of Introduction to Fixed Income Analytics skillfully covered the fundamentals of this discipline and was the first book to feature Bloomberg screens in examples and illustrations. Since publication over eight years ago, the markets have experienced cathartic change.

That's why authors Frank Fabozzi and Steven Mann have returned with a fully updated Second Edition. This reliable resource reflects current economic conditions, and offers additional chapters on relative value analysis, value-at-risk measures and information on instruments like TIPS (treasury inflation protected securities).
* Offers insights into value-at-risk, relative value measures, convertible bond analysis, and much more
* Includes updated charts and descriptions using Bloomberg screens
* Covers important analytical concepts used by portfolio managers

Understanding fixed-income analytics is essential in today's dynamic financial environment. The Second Edition of Introduction to Fixed Income Analytics will help you build a solid foundation in this field.

Produktdetails

• Autoren: Fabozzi, Fj Fabozzi, Frank Fabozzi, Frank J Fabozzi, Frank J. Fabozzi, Frank J. (School of Management Fabozzi, Frank J. Mann Fabozzi, FABOZZI FRANK J MANN STEVEN V, Mann, Steven V Mann, Steven V. Mann, Steven V. Fabozzi Mann
• Verlag: Wiley, John and Sons Ltd
• Sprache: Englisch
• Produktform: Fester Einband
• Erschienen: 27.10.2010
• EAN: 9780470572139
• ISBN: 978-0-470-57213-9
• Seiten: 496
• Serien: Frank J. Fabozzi Series; Wiley Desktop Editions; Frank J. Fabozzi (Hardcover); Wiley Desktop Editions; Frank J. Fabozzi Series
• Themen: Sozialwissenschaften, Recht,Wirtschaft > Wirtschaft > Betriebswirtschaft; Kapitalanlage, Finance & Investments, Finanz- u. Anlagewesen, Kapitalanlagen u. Wertpapiere, Investments & Securities