This book is aimed at experienced practitioners in the corporate bond markets and is a specialised text for investors and traders. The author relates from both personal experience as well as his own research to bring together subjects of practical importance to bond market practitioners. He introduces the latest techniques used for analysis and interpretation, including:

Relative value trading
Approaches to trading and hedging
Dynamic analysis of spot and forward rates
Interest rate modelling
Fitting the yield curve
Analysing the long bond yield
Index-linked bond analytics
Corporate bond defaults

Key Features

* Aspects of advanced analysis for experienced bond market practitioners
* Complex topics described in an accessible style
* Brings together a wide range of topics in one volume

Details

ISBN

978-0-7506-6263-5

Language

English

Published

2004

Copyright

Imprint

Butterworth-Heinemann

DOI

https://doi.org/10.1016/B978-0-7506-6263-5.X5000-9

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Advanced Fixed Income Analysis

Advanced Fixed Income Analysis

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Table of contents

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1 - Approaches to trading and hedging

2 - Relative value trading using government bonds

3 - The dynamics of asset prices

4 - Interest-rate models I

5 - Interest-rate models II

6 - Estimating and fitting the term structure I

7 - Estimating and interpreting the term structure II: A practical implementation of the cubic spline method

8 - Advanced analytics for index-linked bonds

9 - Analysing the long bond yield

10 - The default risk of corporate bonds

11 - Brady bonds

Index

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