The bond and money markets : strategy, trading, analysis / / Moorad Choudhry

• Autore: Choudhry Moorad
• Pubblicazione: Boston, : Butterworth-Heinemann, 2001
• Edizione: 1st edition
• Descrizione fisica: 1 online resource (1151 p.)
• Disciplina: 332.63/23 21; 332.6323
• Soggetto topico: Bonds; Money market
• Note generali: Description based upon print version of record.
• Nota di bibliografia: Includes bibliographical references and index.
• Nota di contenuto: Cover -- The Bond and Money Markets: Strategy, Trading, Analysis -- Copyright -- Dedication -- Contents -- Foreword -- Preface -- About the author -- Part I Introduction to the Bond Markets -- Chapter 1 The Debt Capital Markets -- 1.1 Description -- 1.2 Bond issuers -- 1.3 Capital market participants -- 1.4 World bond markets -- 1.5 Overview of the main bond markets -- 1.6 Financial engineering in the bond markets -- Appendices -- Selected bibliography and references -- Questions and exercises -- Chapter 2 Financial Markets Arithmetic -- 2.1 Simple and compound interest -- 2.2 The time value of money -- 2.3 Multiple cash flows -- 2.4 Corporate finance project appraisal -- 2.5 Interpolation and extrapolation -- 2.6 Measuring the rate of return -- 2.7 Indices -- Appendices -- References -- Questions and exercises -- Chapter 3 Traditional Bond Pricing -- 3.1 Pricing a conventional bond -- 3.2 Pricing zero-coupon bonds -- 3.3 Clean and dirty bond prices -- 3.4 Bond price and yield relationship -- Selected bibliography and references -- Questions and exercises -- Chapter 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 -- Selected bibliography and references -- Questions and exercises -- Chapter 5 Review of Bond Market Instruments -- 5.1 Floating Rate Notes -- 5.2 Inverse/Reverse floating-rate bonds -- 5.3 Asset-backed bonds -- 5.4 PIBS -- 5.5 Callable bonds -- 5.6 Index-linked bonds -- Appendices. ; Selected bibliography and references -- Questions and exercises -- Chapter 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 curve -- Appendices -- Selected bibliography and references -- Questions and exercises -- Chapter 7 Price, Yield and Interest Rate Risk I -- 7.1 Revisiting the bond price/yield relationship -- 7.2 Duration -- 7.3 A summary of the duration measure -- 7.4 Duration for other securities -- Appendices -- Selected bibliography -- Questions and exercises -- Chapter 8 Price, Yield and Interest Rate Risk II -- 8.1 Basis point value -- 8.2 Yield value of price change -- 8.3 Hedging using basis point value -- 8.4 Volatility weighting for hedging -- Selected bibliography and references -- Questions and exercises -- Chapter 9 Price, Yield and Interest Rate Risk III -- 9.1 Convexity -- 9.2 Summarising the properties of convexity -- 9.3 Dispersion -- Appendices -- Selected bibliography -- Questions and exercises -- Chapter 10 Price, Yield and Interest Rate Risk IV -- 10.1 Yield curve changes -- 10.2 Portfolio duration and changes in the yield curve -- 10.3 Hedging strategy and duration -- Appendices -- Selected bibliography -- Questions and exercises -- Part II Government Bond Markets -- Chapter 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 -- Selected bibliography -- Questions and exercises -- Chapter 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 -- Selected bibliography -- Questions and exercises -- Chapter 13 International Bond Markets -- 13.1 Overview of government markets -- 13.2 Germany -- 13.3 Italy -- 13.4 France -- 13.5 Japan -- 13.6 Australia -- 13.7 New Zealand -- 13.8 Canada -- 13.9 Hungary -- 13.10 South Africa -- 13.11 Egypt -- Appendices -- Selected bibliography -- Part III Corporate Debt Markets -- Chapter 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 -- Selected bibliography -- Questions and exercises. ; Chapter 15 Analysis of Bonds With Embedded Options -- 15.1 Understanding embedded option elements in a bond -- 15.2 The Binomial tree of short-term interest rates -- 15.3 Pricing callable bonds -- 15.4 Price and yield sensitivity -- 15.5 Price volatility of bonds with embedded options -- 15.6 Sinking funds -- Appendices -- Selected bibliography -- Questions and exercises -- Chapter 16 Convertible Bonds I -- 16.1 Basic description -- 16.2 Advantages of issuing and holding convertibles -- Selected bibliography and references -- Chapter 17 Convertible Bonds II -- 17.1 Traditional valuation methodology -- 17.2 Fair value of a convertible bond -- 17.3 Further issues in valuing convertible bonds -- 17.4 Convertible bond default risk -- Appendices -- Selected bibliography -- Questions and exercises -- Chapter 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 -- Selected bibliography -- Chapter 19 Eurobonds II -- 19.1 Legal and tax issues -- 19.2 The secondary market -- 19.3 Eurobonds and swap transactions -- Chapter 20 Warrants -- 20.1 Introduction -- 20.2 Analysis -- 20.3 Bond warrants -- 20.4 Comparison of warrants and convertibles -- Selected bibliography and references -- Chapter 21 Medium-term Notes -- 21.1 Introduction -- 21.2 The primary market -- 21.3 MTNs and corporate bonds -- 21.4 Issue mechanism -- 21.5 The secondary market -- 21.6 The Euro-MTN market -- 21.7 Structured MTNs -- Selected bibliography and references -- Questions and exercises -- Chapter 22 Commercial Paper -- 22.1 Commercial Paper programmes. ; 22.2 Commercial paper yields -- Selected bibliography -- Questions and exercises -- Chapter 23 Preference Shares and Preferred Stock -- 23.1 The size of the market -- 23.2 Description and definition of preference shares -- 23.3 Cost of preference share capital -- 23.4 The preference share market -- 23.5 Auction market preferred stock (Amps) -- Selected bibliography -- Chapter 24 The US Municipal Bond Market -- 24.1 Description of municipal bonds -- 24.2 The municipal bond market -- 24.3 Municipal bonds credit ratings -- 24.4 Bond insurance -- 24.5 Taxation issues -- 24.6 Exotic municipal bonds -- 24.7 Municipal money market instruments -- Appendices -- Selected bibliography and references -- Chapter 25 Asset-Backed Bonds I: Mortgage-backed Securities -- 25.1 Mortgage-backed securities -- 25.2 Cash flow patterns -- 25.3 Evaluation and analysis of mortgage-backed bonds -- Selected bibliography and references -- Questions and exercises -- Chapter 26 Mortgage-backed Bonds II -- 26.1 Basic concepts -- 26.2 Pricing and modelling techniques -- 26.3 Interest rate risk -- 26.4 Portfolio performance -- Selected bibliography and references -- Chapter 27 Asset-backed Securities III -- 27.1 Collateralised mortgage securities -- 27.2 Non-agency CMO bonds -- 27.3 Commercial mortgage-backed securities -- 27.4 Motor-car-backed securities -- 27.5 Credit card asset-backed securities -- 27.6 Static spread analysis of asset-backed bonds -- 27.7 Conclusion -- Selected bibliography and references -- Questions and exercises -- Chapter 28 Collateralised Debt Obligations -- 28.1 An overview of CDOs -- 28.2 Relative value analysis -- 28.3 Credit derivatives6 -- Selected bibliography -- Chapter 29 High-yield Bonds -- 29.1 Growth of the market -- 29.2 High-yield securities -- 29.3 High-yield bond performance -- Selected bibliography and references. ; Chapter 30 Corporate Bonds and Credit Analysis.
• Sommario/riassunto: The 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, struc
• Titolo autorizzato: The bond and money markets
• ISBN: 9786611051358; 9781281051356; 1281051357; 9780080476186; 008047618X
• Formato: Materiale a stampa
• Livello bibliografico: Monografia
• Lingua di pubblicazione: Inglese
• Record Nr.: 9910970610703321
• Lo trovi qui: Univ. Federico II
• Serie: Securities Institution Professional Reference Series