Fixed Income Analytics - Hardcover

Garbade, Kenneth

Hardcover

ISBN 10: 0262071762 ISBN 13: 9780262071765

Publisher: MIT Press, 1997

Synopsis

Fixed Income Analytics brings together twenty influential papers written by Kenneth Garbade with members of the Cross Markets Research Group of Bankers Trust Company between 1983 and 1990. Written by and for practitioners in the U.S. Treasury securities markets, it is one of the few, if not only, books on fixed income analysis that focuses on applicable techniques while remaining analytically rigorous.Divided into four parts, Fixed Income Analytics presents quantitative methodologies for the analysis of fixed income securities, such as U.S. Treasury bills, notes, bonds, and STRIPS that have no credit risk. Examined in part I are basic concepts of bond yield and bond duration; in part II, yield curves and the problem of assessing relative value; in part III, topics in fixed income portfolio management associated with change in the shape of the yield curve -- yield curve trades, butterfly trades, and hedging -- and in part IV, the characteristics and consequences of fluctuations in the shape of the yield curve.

About this title

Review:

"I am convinced that the ideal text for an introduction to fixed-income analytics has been written... in a series of Bankers Trust working papers principally authored by Kenneth Garbade... [that] provide mathematically rigorous and self-contained gems on everything from the ideal way to define true yield to how best to compute the yield on a portfolio of bonds." Arthur D. Warga, Journal of Finance "Fixed Income Analytics is an outstanding combination of theprecision of academics with the institutional detail of the real world.It is required reading for any serious MBA student." William L. Silber, Professor of Finance and Economics,New York University

Synopsis:

"Fixed Income Analytics" brings together 20 papers written by Kenneth Garbade with members of the Cross Markets Research Group of Bankers Trust Company between 1983 and 1990. Written by and for practitioners in the US Treasury securities markets, this book on fixed income analysis focuses on applicable techniques while remaining analytical. Divided into four parts, "Fixed Income Analytics" presents quantitative methodologies for the analysis of fixed income securities, such as US Treasury bills, notes, bonds and STRIPS that have no credit risk. Examined in Part 1 are basic concepts of bond yield and bond duration; in Part 2, yield curves and the problem of assessing relative value; in Part 3, topics in fixed income portfolio management associated with change in the shape of the yield curve - yield curve trades, butterfly trades and hedging; and in Part 4, the characteristics and consequences of fluctuations in the shape of the yield curve.

About this edition

• Publisher: MIT Press
• Publication date: 1997
• ISBN 10: 0262071762
• ISBN 13: 9780262071765
• Binding: Hardcover
• Number of pages: 480