Bond Markets, Analysis and Strategies

Features

• NEW—Updated analytical techniques—In the valuation of bonds with embedded options and measures.
• • Enables students to assess the interest rate risk of complex instruments.
• NEW—Strategies for accomplishing investment objectives—In particular coverage on employing derivative instruments has been updated to reflect recent developments.
• • Allows students to have the most current information available.
• NEW—Recent product information.
• • Provides students with the latest developments in mortgage and asset backed securities.
• Offers detailed coverage of various market sectors.
• • Includes mortgage-backed securities, asset-backed securities, technologies for valuing complex bond structures, actual bond portfolio management strategies and interest rate derivatives.
• Excerpts from weekly trade publications.
• • Presents students with valuable information and components of end-of-chapter questions.
• Links between theory and practice.
• • Helps students understand the latest analytical techniques for valuing complex bond structures.
• Explains the bond strategies that are used by institutional investors.
• • Students can see how professional money managers employ strategies using bonds.
• Explains Portfolio strategies employing interest rate derivative instruments.
• • Students see actual applications of interest rate derivatives.
• Numerous problems in each chapter.
• • Gives students the opportunity to apply learned skills on all topics.

Contents

1. Introduction.
2. Pricing of Bonds.
3. Measuring Yield.
4. Bond Price Volatility.
5. Factors Affecting Bond Yields and The Term Structure of Interest Rates.
6. Treasury and Agency Securities Markets.
7. Corporate Debt Instruments.
8. Municipal Securities.
9. Non-U.S. Bonds.
10. Mortgage Loans.
11. Mortgage Pass-Through Securities.
12. Collateralized Mortgage Obligations and Stripped Mortgage-Backed Securities.
13. Asset-Backed Securities.
14. Analysis of Bonds with Embedded Options.
15. Analysis of Mortgage-Backed Securities.
16. Analysis of Convertible Bonds.
17. Active Bond Portfolio Management Strategies.
18. Indexing.
19. Liability Funding Strategies.
20. Bond Performance Measurement and Evaluation.
21. Interest-Rate Futures Contracts.
22. Interest-Rate Options.
23. Interest-Rate Swaps and Agreements.
Index.