Book description
Bond and Money Markets: Strategy, Trading, Analysis explains and analyses all aspects of the bond and money markets and is both an introduction for newcomers and an advanced text for experienced market practitioners and graduate students. Those with experience of the industry at all levels will find the book invaluable as a standard reference work. The book features coverage of:
- Government and Corporate bonds, Eurobonds, callable bonds, convertibles
- Asset-backed bonds including mortgages and CDOs
- Derivative instruments including bond futures, swaps, options, structured products, and option valuation models
- Interest-rate risk, duration analysis, convexity, and the convexity bias
- The money markets, repo markets, basis trading, and asset / liability management
- Term structure models, estimating and interpreting the yield curve
- Portfolio management, including total return framework, portfolio strategies, and constructing bond indices
and valuable insight into:
- Trading and hedging strategy
- Charting and technical analysis
- The latest market developments, such as value-at-risk, and credit derivatives
- Emerging markets and the benefits of international investment
The Bond and Money Markets: Strategy, Trading, Analysis is aimed at a wide readership including bond salespersons, traders, corporate financiers and graduate trainees, as well as risk managers, operations professionals and business analysts. Other market participants including fund managers, corporate treasurers, management consultants, regulators and financial journalists will also find the content useful.
- This book is virtually a stand alone reference book on interest rate swaps, the money markets, financial market mathematics, interest-rate futures and technical analysis
- Includes some introductory coverage of very specialised topics (for which one requires specialised texts) such as VaR, Asset & liability management, credit derivatives
- Combines accessible style with advanced level topics, plus review of latest research
Table of contents
- Cover image
- Title page
- Table of Contents
- Copyright page
- Dedication
- Foreword
- Preface
- About the author
-
Part I: Introduction to the Bond Markets
- Introduction
- 1: The Debt Capital Markets
- 2: Financial Markets Arithmetic
- 3: Traditional Bond Pricing
-
4: Bond Yield Measurement
- 4.1 Current yield
- 4.2 Simple yield to maturity
- 4.3 Yield to maturity
- 4.4 Yield on a zero-coupon bond
- 4.5 Modifying bond yields
- 4.6 Converting bond yields
- 4.7 Assumptions of the redemption yield calculation
- 4.8 Holding-period yield
- 4.9 Bonds with embedded options
- 4.10 Index-linked bonds
- 4.11 Yields on floating-rate bonds
- 4.12 Measuring yield for a bond portfolio
- 4.13 The price/yield relationship
- 4.14 Summary
- Appendices
- Questions and exercises
- 5: Review of Bond Market Instruments
-
6: The Yield Curve
- 6.1 Using the yield curve
- 6.2 Yield-to-maturity yield curve
- 6.3 The coupon yield curve
- 6.4 The par yield curve
- 6.5 The zero-coupon (or spot) yield curve
- 6.6 The forward yield curve
- 6.7 The annuity yield curve
- 6.8 Analysing and interpreting the yield curve
- 6.9 Interpreting the yield curve
- 6.10 Fitting the yield curve
- 6.11 Spot and forward rates in the market
- 6.12 Examples, exercises and calculations
- 6.13 Case Study: Deriving a discount function28
- 6.14 Case Study exercise: Deriving the theoretical zero-coupon (spot) rate curve29
- Appendices
- Questions and exercises
- 7: Price, Yield and Interest Rate Risk I
- 8: Price, Yield and Interest Rate Risk II
- 9: Price, Yield and Interest Rate Risk III
- 10: Price, Yield and Interest Rate Risk IV
-
Part II: Government Bond Markets
- Introduction
-
11: The United Kingdom Gilt Market
- 11.1 Introduction and history
- 11.2 Market instruments
- 11.3 Taxation
- 11.4 Market structure
- 11.5 Market makers and brokers
- 11.6 Issuing gilts
- 11.7 The DMO and secondary market trading
- 11.8 Settlement
- 11.9 Index-linked gilts analytics
- 11.10 Gilt strips
- 11.11 Zero-coupon bond trading and strategy
- 11.12 Strips market anomalies
- 11.13 Trading strategy
- 11.14 Illustration: Yield and cash flow analysis
- 11.15 Future developments in strips
- 11.16 HM Treasury and the remit of the Debt Management Office
- 11.17 Gilt derivatives and repo markets
- 11.18 The Minimum Funding Requirement
- 11.19 Developments in electronic trading
- Appendices
- Questions and exercises
-
12: The US Treasury Bond Market
- 12.1 The US Treasury
- 12.2 The Federal Reserve
- 12.3 Market convention
- 12.4 The Primary Market
- 12.5 The Secondary Market
- 12.6 Treasury strips
- 12.7 Inflation-protected Treasury bonds
- 12.8 Treasury repo market
- 12.9 Federal Agency bonds
- 12.10 Derivatives markets
- 12.11 Historical long-bond yields
- Appendices
- Questions and exercises
- 13: International Bond Markets
-
Part III: Corporate Debt Markets
- Introduction
-
14: Corporate Debt Markets
- 14.1 Introduction
- 14.2 Determinants of the development of a corporate market
- 14.3 The primary market
- 14.4 The secondary market
- 14.5 Fundamentals of corporate bonds
- 14.6 Bond security
- 14.7 Redemption provisions
- 14.8 Corporate bond risks
- 14.9 High-yield corporate bonds
- 14.10 Corporate bond offering circular
- Questions and exercises
- 15: Analysis of Bonds With Embedded Options
- 16: Convertible Bonds I
- 17: Convertible Bonds II
-
18: The Eurobond Market I
- 18.1 Eurobonds
- 18.2 Foreign bonds
- 18.3 Eurobond instruments
- 18.4 The issuing process: market participants
- 18.5 Fees, expenses and pricing
- 18.6 Issuing the bond
- 18.7 Covenants
- 18.8 Trust services
- 18.9 Form of the bond
- 18.10 Clearing systems
- 18.11 Market associations
- 18.12 Secondary market
- 18.13 Settlement
- 19: Eurobonds II
- 20: Warrants
- 21: Medium-term Notes
- 22: Commercial Paper
- 23: Preference Shares and Preferred Stock
- 24: The US Municipal Bond Market
- 25: Asset-Backed Bonds I: Mortgage-backed Securities
- 26: Mortgage-backed Bonds II
- 27: Asset-backed Securities III
- 28: Collateralised Debt Obligations
- 29: High-yield Bonds
- 30: Corporate Bonds and Credit Analysis
-
Part IV: The Money Markets
- Introduction
- 31: The Money Markets
- 32: Banking Regulatory Capital Requirements
- 33: Asset and Liability Management
-
34: The Repo Markets
- 34.1 Development of the repo market
- 34.2 Introduction to repo
- 34.3 Uses and economic functions of repo
- 34.4 Repo mechanics
- 34.5 Other repo structures
- 34.6 Pricing and margin
- 34.7 Risks in dealing repo
- 34.8 Legal issues
- 34.9 Accounting, Tax and capital issues
- 34.10 Market participants
- 34.11 The United Kingdom gilt repo market
- 34.12 Market structure
- 34.13 Trading patterns
- 34.14 Open market operations
- 34.15 Gilts settlement and the CREST service
- 34.16 Gilt repo Code of Best Practice
- 34.17 Trading approach
- 34.18 Electronic repo trading
- 34.19 Repo netting
- 34.20 The implied repo rate and basis trading
- 34.21 Repo market structures
- 34.22 Central bank repo and overseas markets
- Appendices
- Questions and exercises
- 35: Money Markets Derivatives
-
Part V: Risk Management
- Introduction
- 36: Risk Management
-
37: Bank Risk Exposure and Value-at-Risk
- 37.1 Value-at-Risk
- 37.2 Explaining Value-at-Risk
- 37.3 Variance-covariance Value-at-Risk
- 37.4 Historical VaR methodology
- 37.5 Simulation methodology
- 37.6 Value-at-risk for fixed interest instruments
- 37.7 Derivative products and Value-at-Risk
- 37.8 Stress testing
- 37.9 Value-at-Risk methodology for credit risk
- Appendices
- Questions and exercises
- 38: Interest-rate Risk and a Critique of Value-at-Risk
-
Part VI: Derivative Instruments
- Introduction
-
39: Swaps I
- 39.1 Introduction
- 39.2 Interest rate swaps
- 39.3 Relationship between interest-rate swaps and FRAs
- 39.4 Generic swap valuation
- 39.5 Zero-coupon swap pricing
- 39.6 Non-vanilla interest-rate swaps
- 39.7 Cancelling a swap
- 39.8 Swaptions
- 39.9 Cross-currency swaps
- 39.10 Credit risk
- Appendices
- Questions and exercises
- 40: Swaps II
- 41: Bond Futures
- 42: Options I
- 43: The Dynamics of Asset Prices
-
44: Options II: Pricing and Valuation
- 44.1 Option pricing
- 44.2 Pricing derivative securities
- 44.3 Simulation methods
- 44.4 Valuation of bond options
- 44.5 Interest-rate options and the Black model
- 44.6 Critique of the Black–Scholes model
- 44.7 The Barone-Adesi and Whaley model
- 44.8 Valuation of American options
- 44.9 Describing stochastic volatilities
- 44.10 A final word on (and summary of) the models
- Appendices
- Questions and exercises
- 45: Options III: The Binomial Pricing Model
- 46: Options IV: Pricing Models for Bond Options
- 47: Options V – Managing an Option Book
- 48: Options VI: Strategies and Uses
- 49: Options VII: Exotic Options
- Part VII: Approaches to Trading and Hedging
- Part VIII: Advanced Fixed Income Analytics
- Part IX: Portfolio Management
-
Part X: Technical Analysis
- Introduction
-
63: Technical Analysis
- 63.1 Introduction
- 63.2 Trading market profile
- 63.3 Dow theory
- 63.4 Chart construction
- 63.5 Trend analysis
- 63.6 Reversal patterns
- 63.7 Continuation patterns
- 63.8 Point and figure charting
- 63.9 Mathematical approaches
- 63.10 Contrary opinion theory
- 63.11 Volume and open interest
- 63.12 Candlestick charting
- 63.13 Elliott wave theory
- 63.14 Stop losses
- 63.15 Concluding remarks
- Questions and exercises
- Part XI: Introduction to Credit Derivatives
- Part XII: Emerging Bond Markets
- Concluding Remarks
- Glossary
- Index
Product information
- Title: Bond and Money Markets: Strategy, Trading, Analysis
- Author(s):
- Release date: May 2001
- Publisher(s): Butterworth-Heinemann
- ISBN: 9780080476186
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