The standard reference for fixed income portfolio managers

Despite their conservative nature, fixed income instruments are among the investment industry's most complex and potentially risky investments. Fixed Income Mathematics is recognized worldwide as the essential professional reference for understanding the concepts and evaluative methodologies for bonds, mortgage-backed securities, asset-backed securities, and other fixed income instruments.

This fully revised and updated fourth edition features all-new illustrations of the future and present value of money, with appendices on continuous compounding and new sections and chapters addressing risk measures, cash flow characteristics of credit-sensitive mortgage-backed and asset-backed securities, and more.

• Preface
• Acknowledgments
• Introduction
• Overview of Fixed Income Securities and Derivatives
• Time Value Money
• Bond Pricing for Option-Free Bonds and Conventional Yield Measures
• Return Analysis
• Price Volatility for Option-Free Bonds
• Analyzing Bonds with Embedded Options
• Credit Risk
• Analyzing Securitized Products
• Statistical and Optimization Techniques
• Index