Key Benefits: It includes a detailed discussion of each type of bond including a wide range of products. The book features comprehensive discussion of not only the instruments, but their investment characteristics, the state-of-the art technology for valuing them, and portfolio strategies for using them.Key Topics: Offers more detailed coverage of various market sectors, including mortgage-backed securities, asset-backed securities, technologies for valuing complex bond structures, actual bond portfolio management strategies and interest rate derivatives than the previous edition. New coverage on measuring and evaluating bond performance and valuation of options and swaps. Explains the latest analytical techniques for valuing complex bond structures, tying together theory and practice; explains the bond strategies that are used by institutional investors so that students can see how professional money managers employ strategies using bonds. Discusses interest rate derivative instruments and how they are valued.

This comprehensive book on bonds takes a practical real-world approach to the subject, and includes a detailed discussion of each type of bond including a wide range of products. Specific chapter coverage discusses not only the instruments, but their investment characteristics, the state-of-the art technology for valuing them, and portfolio strategies for using them. For portfolio managers, fixed income trades, and salespeople.



Table of Contents

1. Introduction.

2. Pricing of Bonds.

3. Measuring Yield.

4. Bond Price Volatility.

5. Factors Affecting Bond Yields and the Term Structure of Interest Rates.

6. Treasury and Agency Securities Markets.

7. Corporate Debt Instruments.

8. Municipal Securities.

9. Non-U.S. Bonds.

10. Residential Mortgage Loans.

11. Mortgage Pass-Through Securities.

12. Collateralized Mortgage Obligations and Stripped Mortgage-Backed Securities.

13. Commercial Mortgage-Backed Securities.

14. Asset-Backed Securities.

15. Collateralized Debt Obligations.

16. Analysis of Bonds with Embedded Options.

17. Analysis of Residential Mortgage-Backed Securities.

18. Analysis of Convertible Bonds.

19. Active Bond Portfolio Management Strategies.

20. Indexing.

21. Liability Funding Strategies.

22. Bond Performance Measurement and Evaluation.

23. Interest-Rate Futures Contracts.

24. Interest-Rate Options.

25. Interest-Rate Swaps and Agreements.

26. Credit Derivatives.

Index.