Authors: Frank Fabozzi, Steven V. Mann (Editor), Steven V. Mann
ISBN-13: 9780071440998, ISBN-10: 0071440992
Format: Hardcover
Publisher: McGraw-Hill Companies, The
Date Published: April 2005
Edition: REV
Frank J. Fabozzi, Ph.D., C.F.A., is editor of the Journal of Portfolio Management, the Frederick Frank Adjunct Professor of Finance at Yale University's School of Management, and one of the world's foremost authorities on fixed income securities and derivative instruments. Fabozzi is the author and editor of dozens of widely acclaimed books on fixed income securities and investments, including Fixed Income Mathematics, The Handbook of Financial Instruments, Handbook of Mortgage-Backed Securities, and numerous others.
Steven V. Mann, Ph.D., is Professor of Finance at the Moore School of Business, University of South Carolina and, for over a decade, a well-respected lecturer on fixed income analytics to Wall Street firms. He has coauthored four books and numerous articles on fixed income and derivative instruments.
The world's most trusted fixed income resource for more than two decades, now substantially revised and updated
The Handbook of Fixed Income Securities is the investing industry's most authoritative, widely followed fixed income reference. Institutional and individual investors have learned to rely on the handbook for its scope and detail, along with the unquestioned global authority and expertise of its contributors.
This thoroughly revised seventh edition features updated facts and formulas for analyzing, valuing, and managing fixed income instruments and their derivatives in today's evolving marketplace, including:
The Handbook of Fixed Income Securities, Seventh Edition, is the most all-inclusive, up-to-date source available for fixed income facts and analyses. Its valuable perspective and insights will help you enhance investment returns and avoid poor performance in the fixed income market.
Since 1983, through six previous editions, The Handbook of Fixed Income Securities has been the essential reference for institutional investors, portfolio managers, financial analysts, and virtually anyone requiring access to the latest, most authoritative information on the global fixed income marketplace. But an unprecedented number of new products and approaches has brought dramatic new opportunities and risks to that marketplace.
In the substantially revised seventh edition of this investment classic, leading fixed income authority Frank Fabozzi with the assistance of Steven Mann once again teams with the world's top fixed income experts to provide you with insights and details on contemporary fixed income vehicles and strategies. New and updated topics include:
• Bond primary and secondary markets
• Calculating investment returns
• Forward rates
• Eurobonds
• Emerging market debt
• Stable value investments
• Mortgages and mortgage-backed securities
• Agency mortgage pass-through securities
• Collateralized mortgage obligations
• Residential asset-backed securities
• Securities backed by credit card receivables
• Cash-collateralized debt obligations
• Synthetic CDOs
• Credit risk modeling
• Rating agency approach to structured finance
• Yield-curve analysis
• The market yield curve and fitting the term structure of interest rates
• Hedging interest-rate risk with term-structure factor models
• Quantitative management of benchmarked portfolios
• Financing positions in the bond market
• Transition management
• Credit derivatives
The Handbook of Fixed Income Securities, Seventh Edition, equips you with a comprehensive overview of all fixed income securities and strategies and continues to be the investment industry's most accessible and all-inclusive resource. Invaluable for its theoretical insights, unsurpassed in its hands-on guidance, and unequalled in the expertise and authority of its contributors, this concise, complete explanation of fixed income securities and applications delivers the data and knowledge investment professionals need and remains the one fixed income answer book to have within reach at all times.
Frank J. Fabozzi, Ph.D., C.F.A., is editor of the Journal of Portfolio Management, the Frederick Frank Adjunct Professor of Finance at Yale University's School of Management, and one of the world's foremost authorities on fixed income securities and derivative instruments. Fabozzi is the author and editor of dozens of widely acclaimed books on fixed income securities and investments, including Fixed Income Mathematics, The Handbook of Financial Instruments, Handbook of Mortgage-Backed Securities, and numerous others.
Steven V. Mann, Ph.D., is Professor of Finance at the Moore School of Business, University of South Carolina and, for over a decade, a well-respected lecturer on fixed income analytics to Wall Street firms. He has coauthored four books and numerous articles on fixed income and derivative instruments.
An updated and revised edition of an authoritative resource providing current information on fixed income securities. The volume's 62 chapters, each written by an authority on the subject, are divided into seven sections: general information about the investment features of fixed income securities and associated risks; domestic and foreign bonds and money market instruments; credit analysis of these instruments; mortgage- backed securities; methodologies for valuing fixed income securities; popular fixed income portfolio management strategies; and derivative instruments and their portfolio management applications. Annotation c. by Book News, Inc., Portland, Or.
Ch. 1 | Overview of the types and features of fixed income securities | 3 |
Ch. 2 | Risks associated with investing in fixed income securities | 21 |
Ch. 3 | The primary and secondary bond markets | 31 |
Ch. 4 | Bond market indexes | 53 |
Ch. 5 | Bond pricing, yield measures, and total return | 73 |
Ch. 6 | Calculating investment returns | 107 |
Ch. 7 | The structure of interest rates | 135 |
Ch. 8 | Overview of forward rate analysis | 159 |
Ch. 9 | Measuring interest-rate risk | 183 |
Ch. 10 | U.S. treasury and agency securities | 229 |
Ch. 11 | Municipal bonds | 251 |
Ch. 12 | Private money market instruments | 285 |
Ch. 13 | Corporate bonds | 305 |
Ch. 14 | Medium-term notes | 339 |
Ch. 15 | Inflation-linked bonds | 351 |
Ch. 16 | Floating-rate securities | 373 |
Ch. 17 | Nonconvertible preferred stock | 385 |
Ch. 18 | International bond markets and instruments | 393 |
Ch. 19 | The eurobond market | 409 |
Ch. 20 | Emerging markets debt | 441 |
Ch. 21 | Stable value investments | 471 |
Ch. 22 | An overview of mortgages and the mortgage market | 487 |
Ch. 23 | Agency mortgage-backed securities | 513 |
Ch. 24 | Collateralized mortgage obligations | 541 |
Ch. 25 | Nonagency CMOs | 579 |
Ch. 26 | Residential asset-backed securities | 589 |
Ch. 27 | Commercial mortgage-backed securities | 615 |
Ch. 28 | Credit card asset-backed securities | 629 |
Ch. 29 | Securities backed by automobile loans and leases | 647 |
Ch. 30 | Cash-collateralized debt obligations | 669 |
Ch. 31 | Synthetic CDOs | 695 |
Ch. 32 | Credit analysis for corporate bonds | 733 |
Ch. 33 | Credit risk modeling | 779 |
Ch. 34 | Guidelines in the credit analysis of municipal general obligation and revenue bonds | 799 |
Ch. 35 | Rating agency approach to structured finance | 827 |
Ch. 36 | Fixed income risk modeling | 839 |
Ch. 37 | Valuation of bonds with embedded options | 851 |
Ch. 38 | Valuation of mortgage-backed securities | 873 |
Ch. 39 | OAS and effective duration | 897 |
Ch. 40 | A framework for analyzing yield-curve trades | 913 |
Ch. 41 | The market yield curve and fitting the term structure of interest rates | 939 |
Ch. 42 | Hedging interest-rate risk with term-structure factor models | 967 |
Ch. 43 | Introduction to bond portfolio management | 989 |
Ch. 44 | Quantitative management of benchmarked portfolios | 1017 |
Ch. 45 | Financing positions in the bond market | 1047 |
Ch. 46 | Global credit bond portfolio management | 1061 |
Ch. 47 | Bond immunization : an asset/liability optimizatin strategy | 1091 |
Ch. 48 | Dedicated bond portfolios | 1103 |
Ch. 49 | International bond portfolio management | 1119 |
Ch. 50 | Transition management | 1147 |
Ch. 51 | Introduction to interest-rate futures and options contracts | 1163 |
Ch. 52 | Pricing futures and portfolio applications | 1187 |
Ch. 53 | Treasury bond futures mechanics and basis valuation | 1201 |
Ch. 54 | The basics of interest-rate options | 1225 |
Ch. 55 | Interest-rate swaps and swaptions | 1249 |
Ch. 56 | Interest-rate caps and floors and compound options | 1283 |
Ch. 57 | Controlling interest-rate risk with futures and options | 1301 |
Ch. 58 | Introduction to credit derivatives | 1337 |
Ch. 59 | Convertible securities and their investment characteristics | 1371 |
Ch. 60 | Convertible securities and their valuation | 1393 |
App. A | A review of the time value of money | 1443 |