{"product_id":"fixed-income-markets-isbn-9781118171721","title":"Fixed Income Markets","description":"\u003cb\u003eA comprehensive, in-depth look at global debt capital markets in the post-crisis world\u003c\/b\u003e  \u003cp\u003eFully updated with comprehensive coverage of the post-crisis debt markets and their impact on key industry issues, \u003ci\u003eFixed Income Markets: Management, Trading, and Hedging, Second Edition\u003c\/i\u003e offers insights into derivative pricing, cross-currency hedging, and new liquidity legislation. Written by Choudhry, Moskovic, and Wong, \u003ci\u003eFixed Income Markets\u003c\/i\u003e is an indispensable read for anyone working in bond markets, interest-rate markets, and credit derivatives markets looking to better understand today's debt markets.\u003c\/p\u003e \u003cp\u003eThis acclaimed book takes a unique look into the leading practices in bond markets as well as post-credit-crunch impacts on pricing that are rarely captured in textbooks. The new edition provides expanded coverage on a wide range of topics within hedging, derivatives, bonds, rebalancing, and global debt capital markets. New topics include:\u003c\/p\u003e \u003cul\u003e \u003cli\u003eDynamic hedging practices and cross-currency hedging\u003c\/li\u003e \u003cli\u003eCollateralized and uncollateralized derivatives, and their impact on valuation\u003c\/li\u003e \u003cli\u003eCallable bonds, pricing, trading, and regulatory aspects related to liquidity\u003c\/li\u003e \u003cli\u003eRebalancing as a method for capturing contingencies and other complex imbedded risks\u003c\/li\u003e \u003c\/ul\u003e \u003cp\u003eAs a bonus, the book includes reference information for statistical concepts and fixed income pricing, as well as a full glossary and index. Written in Choudhry's usual accessible style, \u003ci\u003eFixed Income Markets\u003c\/i\u003e is a comprehensive and in-depth account of the global debt capital markets in today's post-crisis world.\u003c\/p\u003e \u003cp\u003eForeword xiii\u003c\/p\u003e \u003cp\u003ePreface xvii\u003c\/p\u003e \u003cp\u003eAbout the Authors xix\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart One Introduction to Bonds 1\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 1 The Bond Instrument 3\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 2 Bond Instruments and Interest-Rate Risk 43\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAppendix 2.1 Formal Derivation of Modified-Duration Measure 59\u003c\/p\u003e \u003cp\u003eAppendix 2.2 Measuring Convexity 59\u003c\/p\u003e \u003cp\u003eAppendix 2.3 Taylor Expansion of the Price\/Yield Function 61\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 3 Bond Pricing, Spot, and Forward Rates 65\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAppendix 3.1 The Integral 83\u003c\/p\u003e \u003cp\u003eAppendix 3.2 The Derivation of the Bond Price Equation in Continuous Time 85\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 4 Interest-Rate Modelling 89\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAppendix 4.1 Geometric Brownian Motion 101\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 5 Fitting the Yield Curve 105\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAppendix 5.1 Linear Regression: Ordinary Least Squares 124\u003c\/p\u003e \u003cp\u003eAppendix 5.2 Regression Splines 127\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart Two Selected Market Instruments 133\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 6 The Money Markets 135\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAppendix 6.1 179\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 7 Hybrid Securities and Structured Securities 181\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 8 Bonds with Embedded Options and Option-Adjusted Spread Analysis 205\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAppendix 8.1 Calculating Interest Rate Paths Using Microsoft Excel 232\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 9 Inflation-Indexed Bonds and Derivatives 235\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAppendix 9.1 Current Issuers of Public-Sector Indexed Securities 256\u003c\/p\u003e \u003cp\u003eAppendix 9.2 U.S. Treasury Inflation-Indexed Securities (TIPS) 257\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 10 Introduction to Securitisation and Asset-Backed Securities 261\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart Three Derivative Instruments 297\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 11 Forwards and Futures Valuation 299\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 12 Bond Futures Contracts 309\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAppendix 12.1 The Conversion Factor for the Long Gilt Future 324\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 13 Swaps 329\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAppendix 13.1 Calculating Futures Strip Rates and Implied Swap Rates 370\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 14 Credit Derivatives I: Instruments and Applications 375\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAppendix 14.1 Bond Credit Ratings 418\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 15 Credit Derivatives II: Pricing, Valuation, and the Basis 421\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 16 Options I 435\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAppendix 16.1 Summary of Basic Statistical Concepts 456\u003c\/p\u003e \u003cp\u003eAppendix 16.2 Lognormal Distribution of Returns 457\u003c\/p\u003e \u003cp\u003eAppendix 16.3 Black-Scholes Model in Microsoft Excel 458\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 17 Options II 461\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart Four Bond Trading and Hedging 475\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 18 Value-at-Risk and Credit VaR 477\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAppendix 18.1 Assumption of Normality 513\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 19 Government Bond Analysis, the Yield Curve, and Relative-Value Trading 517\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 20 Approaches to Trading and Hedging 551\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAppendix 20.1 Summary of Derivation of Optimum Hedge Equation 571\u003c\/p\u003e \u003cp\u003eAppendix 20.2 Forward-Rate Structure in Conventional Yield-Curve Environment 571\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 21 Derivatives Risk Management: Convexity, Collateral, and Correlation 573\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAppendix A Statistical Concepts 621\u003c\/p\u003e \u003cp\u003eAppendix B Basic Tools 627\u003c\/p\u003e \u003cp\u003eAppendix C Introduction to the Mathematics of Fixed-Income Pricing 633\u003c\/p\u003e \u003cp\u003eAppendix D About the Companion Website 639\u003c\/p\u003e \u003cp\u003eGlossary 641\u003c\/p\u003e \u003cp\u003eIndex 669\u003c\/p\u003e  \u003cp\u003e\u003cb\u003eMOORAD CHOUDHRY\u003c\/b\u003e works in Group Treasury at The Royal Bank of Scotland, and is a Professor at the Department of Mathematical Sciences, Brunel University. He was a UK government bond trader and money markets trader with ABN Amro Hoare Govett Securities Ltd and a sterling proprietary trader with Hambros Bank Limited. He later traded structured finance bonds and repo at KBC Financial Products. Moorad lives in Surrey, England.\u003c\/p\u003e \u003cp\u003e\u003cb\u003eDAVID MOSKOVIC\u003c\/b\u003e is a hybrid derivatives trader at The Royal Bank of Scotland. Prior to that he worked in market risk and as a quantitative analyst. He qualified as a Chartered Accountant at Ernst \u0026amp; Young before moving to RBS.\u003c\/p\u003e \u003cp\u003e\u003cb\u003eMAX WONG\u003c\/b\u003e is Head of Risk Model Validation at The Royal Bank of Scotland in Singapore. He was previously an index futures trader on the open-outcry floor at SIMEX and a risk quant at Standard Chartered. He is author of \u003ci\u003eBubble Value at Risk: A Countercyclical Risk Management Approach\u003c\/i\u003e.\u003c\/p\u003e  \u003cp\u003eA comprehensive account of the cash and derivative products used in the global debt capital markets, this book provides detailed description of market conventions and trading practices, plus extended coverage of associated instruments such as derivatives and structured products. It extends the analysis to look at every aspect of managing bond positions, including correlation and funding issues. Highlights of this second edition include:\u003c\/p\u003e \u003cul\u003e \u003cli\u003edevelopments in debt markets trading and hedging, including OIS discounting, CSA curves, and collateral management\u003c\/li\u003e \u003cli\u003ea chapter on convertibles, including the contingent convertible (CoCo)\u003c\/li\u003e \u003cli\u003ehedging, collateral, and correlation issues associated with valuing and managing a portfolio of derivatives\u003c\/li\u003e \u003cli\u003ean updated chapter on value-at-risk\u003c\/li\u003e \u003cli\u003ean overview of relative value trading and investment strategy\u003c\/li\u003e \u003c\/ul\u003e \u003cp\u003eThe contents are invaluable to everyone with an interest in debt capital markets, including investors, traders, risk managers, and finance consultants.\u003c\/p\u003e  \u003cp\u003e\u003cb\u003ePraise for Fixed Income Markets\u003cbr\u003e Second Edition\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e“One of the most comprehensive and detailed books on fixed income securities you will find. A must-read whether you’re new to fixed income or you’re a seasoned investment professional.”\u003cbr\u003e —Patrick Y. Shim, CG Investment Group, Wells Fargo Advisors LLC, Los Angeles\u003c\/p\u003e \u003cp\u003e“Another fabulous guide to the fixed income markets from Moorad that will serve readers from all backgrounds very well. The author’s writing style is always entertaining, yet practical for all market participants, focusing and delivering on the latest concepts and strategies in the fixed income space that come from being a seasoned practitioner himself.”\u003cbr\u003e —Stuart Turner, Senior Treasury Dealer, Newedge UK Financial Ltd, London\u003c\/p\u003e \u003cp\u003e“The first edition has been widely praised for its clarity and precision, its practical and pragmatic approach and its comprehensive coverage of risk management and trading in fixed income markets. This second edition updates the existing text and contains essential new material, particularly on some of the latest structured credit OTC products. I recommend it without reservation to both practitioners and academics, especially those involved in masters courses on fixed income cash and derivatives markets.”\u003cbr\u003e —Carol Alexander, Professor of Finance and Head of Business and Management Department, University of Sussex and co-editor-in-chief of the \u003ci\u003eJournal of Banking and Finance\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003e“A very welcome new edition of Professor Choudhry’s benchmark bond and fixed income markets textbook. There is excellent coverage of the latest developments in both cash and derivatives products, and very useful detail on the impact of issues such as greater collateral and secured funding requirements. A high-quality reference book written in the author’s trademark accessible style, which will be of great value to those involved in the debt capital markets in any capacity.”\u003cbr\u003e —Mohamoud Barre Dualeh, Head of Product Development, Alizz Islamic Bank, Muscat\u003c\/p\u003e \u003cp\u003e“A welcome update with this second edition, and again a very pedagogical contribution from Moorad Choudhry, of immense interest both for students and practitioners. Exactly what you need to master the bond markets.”\u003cbr\u003e —Philippe Priaulet, Head of the Shareholders Network Sales Desk, Natixis, Paris and Associate Professor, University of Evry Val d’Essonne\u003c\/p\u003e","brand":"Wiley","offers":[{"title":"Default Title","offer_id":47989219295461,"sku":"NP9781118171721","price":126.0,"currency_code":"USD","in_stock":false}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/1842\/7735\/files\/9781118171721.jpg?v=1761783255","url":"https:\/\/k12savings.com\/products\/fixed-income-markets-isbn-9781118171721","provider":"K12savings","version":"1.0","type":"link"}