Book Description
A comprehensive, indepth look at global debt capital markets in the postcrisis world
Fully updated with comprehensive coverage of the postcrisis debt markets and their impact on key industry issues, Fixed Income Markets: Management, Trading, and Hedging, Second Edition offers insights into derivative pricing, crosscurrency hedging, and new liquidity legislation. Written by Choudhry, Moskovic, and Wong, Fixed Income Markets is an indispensable read for anyone working in bond markets, interestrate markets, and credit derivatives markets looking to better understand today's debt markets.
This acclaimed book takes a unique look into the leading practices in bond markets as well as postcreditcrunch impacts on pricing that are rarely captured in textbooks. The new edition provides expanded coverage on a wide range of topics within hedging, derivatives, bonds, rebalancing, and global debt capital markets. New topics include:
Dynamic hedging practices and crosscurrency hedging
Collateralized and uncollateralized derivatives, and their impact on valuation
Callable bonds, pricing, trading, and regulatory aspects related to liquidity
Rebalancing as a method for capturing contingencies and other complex imbedded risks
As a bonus, the book includes reference information for statistical concepts and fixed income pricing, as well as a full glossary and index. Written in Choudhry's usual accessible style, Fixed Income Markets is a comprehensive and indepth account of the global debt capital markets in today's postcrisis world.
Table of Contents
 Foreword
 Preface
 About the Authors
 PART ONE Introduction to Bonds

PART TWO Selected Market Instruments
 CHAPTER 6 The Money Markets
 CHAPTER 7 Hybrid Securities and Structured Securities

CHAPTER 8 Bonds with Embedded Options and OptionAdjusted Spread Analysis
 Understanding EmbeddedOption Elements in a Bond
 The Binomial Tree of ShortTerm Interest Rates
 Price Volatility of Bonds with Embedded Options
 Correct Way to RiskManage a Callable Note
 Appendices
 Appendix 8.1 Calculating Interest Rate Paths Using Microsoft Excel
 Notes
 Selected Bibliography and References
 CHAPTER 9 InflationIndexed Bonds and Derivatives
 CHAPTER 10 Introduction to Securitisation and AssetBacked Securities

PART THREE Derivative Instruments
 Recommended Reading
 CHAPTER 11 Forwards and Futures Valuation
 CHAPTER 12 Bond Futures Contracts
 CHAPTER 13 Swaps

CHAPTER 14 Credit Derivatives I: Instruments and Applications
 Credit Risk
 Credit Risk and Credit Derivatives
 Applications
 Credit Event
 Credit Derivative Instruments
 CreditLinked Notes
 Sidebar: Uncollateralised CDS
 The iTraxx Index Note
 Applications for Portfolio Managers
 Risks in Credit Default Swaps
 Big Bang in CDS
 Conclusion
 Appendix
 Appendix 14.1 Bond Credit Ratings
 Notes
 Selected Bibliography and References
 CHAPTER 15 Credit Derivatives II: Pricing, Valuation, and the Basis

CHAPTER 16 Options I
 Background
 Option Instruments
 Option Pricing: Setting the Scene
 Option Pricing
 The BlackScholes Option Model
 InterestRate Options and the Black Model
 Comment on the BlackScholes Model
 A Final Word on Option Models
 Appendices
 Appendix 16.2 Lognormal Distribution of Returns
 Appendix 16.3 BlackScholes Model in Microsoft Excel
 Notes
 Selected Bibliography and References
 CHAPTER 17 Options II

PART FOUR Bond Trading and Hedging
 CHAPTER 18 ValueatRisk and Credit VaR
 CHAPTER 19 Government Bond Analysis, the Yield Curve, and RelativeValue Trading

CHAPTER 20 Approaches to Trading and Hedging
 Futures Trading
 Yield Curves and Relative Value
 YieldSpread Trades
 Hedging Bond Positions
 Bond Analysis Using Spot Rates and Forward Rates in Continuous Time
 Bond Prices as a Function of Spot and Forward Rates
 Appendices
 Appendix 20.1 Summary of Derivation of Optimum Hedge Equation
 Appendix 20.2 ForwardRate Structure in Conventional YieldCurve Environment
 Notes
 Selected Bibliography

CHAPTER 21 Derivatives Risk Management: Convexity, Collateral, and Correlation
 Abstract
 Why Correlation Occurs in the Markets
 Correlation and Causation
 How Can We Define Correlation?
 Measuring Correlation
 Correlation Swaps, Pricing, and Their Risks
 Quantos, Pricing, and their Risks
 Differences between Instantaneous and Terminal Volatilities and Correlations
 Hedging a Portfolio of Correlation Swaps and Quantos
 Uncollateralised Derivatives and Note Discounting
 Explanation of the RiskNeutral Measure
 What Does Discounting Really Represent?
 Pricing an Uncollateralised Cash Flow
 Graph of PV from Different CSAs
 Senior Unsecured Bonds: Equivalence to Uncollateralised Derivatives
 Funding a Trading Book
 A Diversion: St. Petersburg Paradox and Credit Risk
 Making Money for Whom?
 Chapter Summary
 APPENDIX A Statistical Concepts
 APPENDIX B Basic Tools
 APPENDIX C Introduction to the Mathematics of FixedIncome Pricing
 APPENDIX D About the Companion Website
 Glossary
 Index
 End User License Agreement
Product Information
 Title: Fixed Income Markets: Management, Trading and Hedging, 2nd Edition
 Author(s):
 Release date: September 2014
 Publisher(s): Wiley
 ISBN: 9781118171721