Book Description
The standard reference for fixed income portfolio managers
Despite their conservative nature, fixed income instruments are among the investment industry's most complex and potentially risky investments. Fixed Income Mathematics is recognized worldwide as the essential professional reference for understanding the concepts and evaluative methodologies for bonds, mortgage-backed securities, asset-backed securities, and other fixed income instruments.
This fully revised and updated fourth edition features all-new illustrations of the future and present value of money, with appendices on continuous compounding and new sections and chapters addressing risk measures, cash flow characteristics of credit-sensitive mortgage-backed and asset-backed securities, and more.
Customer Reviews:
really great book.......2007-01-06
like the handbook of fixed income securities, this is a comprehensive text. it is a great reference for the methodology of fixed income math.
Absolutely Fabulous!.......2006-05-11
I work in Equity research and recently had to move over to Fixed income. Two things happened at this stage - (a) Work-pressure dictated that I learn FI (b) I started taking a course from NYSU.
Thus, this review is applicable to both sets of people - those who're learning and those who are working.
The language - is very free-flowing and easily can be grasped.
The alma-mater - very, very professionally presented. Without spending too much time covering the absolute basics, i.e. taking the subject from ground-zero, he covers each topic from a perspective of an intelligent reader. Quickly covers the basics, the derivation explanation and then the core equation. The equation is very heavily exploded through various examples and situations. TERRIFIC stuff... really what "hits" you in work.
Critical areas which he has carefully covered this particular edition has the VERY BEST COVERAGE on the latest developments related to: (missing in prev. edition)
* Interest rates and their modelling.
* Credit risk concepts (CDS, etc. also explained)\
* Pre-payment modelling - perhaps the only book covering this ever-important subject, esp. relevant nowadays.
* Corporate bonds and their measures of risk
* MBS Structuring - don't know any book covering this!
The best - tracking errors and multi-factor risk-models... the models and techniques explored here, though rudimentary gives you that 1 single-aspect on every analyst's mind .. i.e. fear of errors. Where it might happen, how to mitigate it, pre-empt it.
Book Description
In the 2nd edition some sections of Part I are omitted for better readability, and a brand new chapter is devoted to volatility risk. As a consequence, hedging of plain-vanilla options and valuation of exotic options are no longer limited to the Black-Scholes framework with constant volatility.
The theme of stochastic volatility also reappears systematically in the second part of the book, which has been revised fundamentally, presenting much more detailed analyses of the various interest-rate models available: the authors' perspective throughout is that the choice of a model should be based on the reality of how a particular sector of the financial market functions, never neglecting to examine liquid primary and derivative assets and identifying the sources of trading risk associated. This long-awaited new edition of an outstandingly successful, well-established book, concentrating on the most pertinent and widely accepted modelling approaches, provides the reader with a text focused on practical rather than theoretical aspects of financial modelling.
Customer Reviews:
Excellent introductory book to financial math.......2006-11-03
This book takes you through the math of finance step-by-step, passing through very simple examples first and then slowly adding complexity to the models studied. It is written very clearly and the prerequisites to reading this book are only some basic notions of probabilities (sigma-fields, probability measures).
Sometimes, the problem with math books is that they are "dry" and contain only a succession of theorems and proofs. In this one, the authors make a point of explaining in detail how different theorems and models relate to each other, and make extensive comparisons between them so that you get a better feel for how they work in practice.
The book is primarily a math book and can be light on market specifics. Do not buy this book as a practical "howto" in derivatives trading.
At the Forefront of Modern Mathematical Finance.......2005-05-23
This advanced text provides an excellent account of the current state-of-the art of options pricing/hedging models and interest rate term structure models. The book is accessible to both advanced practitioners of mathematical finance as well as to pure researchers in the field.
The book is in written in a mathematical style and contains rigorous proofs of many results. However, the main focus of the text is to describe the frontier of knowledge in the subject. Each section contains copious references to the literature and is so current that several references are to working papers. Many sections detail open problems and other areas suitable for scholarly research.
In their second edition, the authors provide an extremely useful critique of each modeling paradigm that they investigate. They also provide evidence for their position in the form of literature references which instruct the reader as to the shortcomings/limitations of a particular model. This information should prove quite valuable to model practitioners and implementers.
The authors assume an advanced background from the field of stochastic analysis, although they do provide an appendix which summarizes key results needed from the field. For the stochastic calculus prerequisites, I recommend Rogers & Williams "Diffusions, Markov Processes and Martingales" volumes I and II. Suitable prerequisites are also covered by Karatzas and Shreve in "Brownian Motion and Stochastic Calculus" 2nd edition. A good foundation in arbitrage pricing theory is also needed. I recommend the nice treatment by Bjork in "Arbitrage Theory in Continuous Time" 2nd edition.
The book is divided into two parts. The first part deals with options pricing in equity markets. Chapter 1 sets premlinaries required for the arbitrage theoretic framework, while Chapter 2 has a very nice treatment of discrete time models and finite financial markets.
In Chapter 3, the authors develop the Black-Scholes model along with the Bachelier model using arbitrage techniques. The models are compared and used as benchmark continuous time models and form the basis for all subsequent analysis.
Chapter 4 provides a nice survey of techniques used to price/hedge options in foreign equity and currency markets. The authors assume familarity of the basic workings of foriegn markets.
Chapter 5 is a terrific chapter on valuing American-style options. The American call option is thoroughly studied and approximation techniques for the American put option are introduced. The explicit derivations of the formulas are referenced to the literature.
Chapter 6 provides an introduction to exotic options, although the authors vary their use of the term 'exotic' to meaning 'not a standard European-style or American-style' in this chapter to meaning 'no readily available liquid market' in Chapter 7. The descriptions are quite accessible and the basic properties of the options are described along with pricing formulas (assuming the Black-Scholes framework).
Chapter 7 provides as complete an accounting as I have ever seen of the generalizations of the Black-Scholes model and motivates this from the point of view of volatility surfaces. Many of the well-known models are studied in detail, such as CEV, local volatility, and mixture models. The strengths and weaknesses of each model are analyzed. The stochastic volatility models of Wiggins (via Orenstien-Uhlenbeck processes), Hull-White, and Heston are studied, as is the SABR model. The chapter wraps up with a study of the SIV models, describes how the stochastic volatility models can be obtained via limits of GARCH models and surveys Jump-diffusion processes and Levy processes.
The second part of the book is concerned with term structure models and interest rate derivatives. The authors are quite well-know for their many contributions to this study and their treatment is authoritative.
Martingales & Finance.......2003-04-12
I have used this book for two courses in my MSc degree in Financial Maths...well this book is hard to understand at first glance, but, once you are introduced with a good course on stochastic analysis and applied probability, this is an illuminating book...I particularly enjoyed the part on foreing equity derivatives and exotic derivatives.....Harmed with patience this is definitely the book by which you can effectively gain a sound a knowledge on modern mathematical finance theory....reading in conjunction with Bingham-Kiesel book, could help understanding the foundation of the subject.
yes, but ..........2000-03-17
I've been using this book on and off over the last year. At first I was very impressed with the level of detail in the mathematics, especially as it was the only book at the time focussing on risk-neutral methods and covering BGM. But I've become increasing disillusioned with it of late. It's difficult to explain, but although the whole book is written in traditional theorem-proof style, there are no real proofs! (I have a PhD in math and have done research for 10 years so I should know a little about proofs.) The only "proofs" provided are basically symbol shifting, but the heart of the math is strangely absent. This is especially strange given the Springer series in which it appears.
In short, if you want a catalogue of methods this book does the job, but if you want a deeper understanding try Lars Nielsens book.
excellent book for post-John-Hull readers.......1999-08-17
This book covers essentially everything needed for a serious financial math study. It captures the spirit of modern financial math. For people with math, physics or engineering background, when you feel comfortable woth John Hull's books, then this book is right one, and a must one.
Book Description
The FIX Guide was developed for professionals in the fixed income market to understand how to implement a system utilizing the FIX protocol. Written for business and product managers, the Guide is a high level view of the resources and skills necessary to exploit the preeminent global standard for the electronic trading of fixed income. Highlights include choosing FIX engines, network choices, testing, the rules of engagement and the FIX process for fixed income. As more trading partners and platforms develop FIX messaging capabilities, firms are looking for an understanding of the most efficient way to implement FIX. The second edition of the FIX Guide draws on the expertise and resources of over 30 industry participants.
Customer Reviews:
Using FIX for fixed income trading.......2005-06-13
The FIX Guide was written by 30 financial services professionals. It details the methods of connecting to counterparties, choosing FIX engines and networks, testing an implementation, training and a model "rules of engagement" for use with counterparties. Diagrams are included that outline the message flow for fixed income. This Guide was written for business managers, trading desk personnel, IT and back office staff. More information is available on the FIX website fixprotocol.org.
To receive the book right away order one from the used section which are new from the publisher. Otherwise the books are printed when ordered and take 3-4 weeks to arrive. Disclaimer: I am one of the editors of the FIX Guide.
Average customer rating:
- only book you need for Intro Cap Markets & Debt Markets clas
- A good bridge between math and fixed income products
- This is a real beginner's guide
- The ýPerfectý Book For Me
- Good reference
|
Fixed Income Mathematics
Frank J. Fabozzi
Manufacturer: McGraw-Hill
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The Handbook of Fixed Income Securities
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Options, Futures and Other Derivatives (6th Edition)
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The Handbook of Mortgage-Backed Securities
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Bond Markets, Analysis and Strategies (6th Edition)
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Salomon Smith Barney Guide to Mortgage-Backed and Asset-Backed Securities
ASIN: 0786311215 |
Book Description
Don't let the conservative nature of many fixed income intruments mislead you! These are complex, potentially risky investments, and Fixed Income Mathematics is required reading if you are to maximize both income and capital growth from fixed income investing. An expert, thorough analysis of this volatile market's latest developments is presented in the straight-forward, comprehensive style that has become a Fabozzi trademark. It will leave you with a greater ability to utilize and take advantage of basic strategies as well as the newest advances in fixed income analysis and research.
Customer Reviews:
only book you need for Intro Cap Markets & Debt Markets clas.......2005-02-16
i'm currently subjecting myself to the finance curriculum at a quant-heavy, top 5 b-school ...
while the profs consistently recommend verbose, over-complicated texts that are full of jargon & painful to read (e.g. priaulet/martelli, bodie/marcus/kane, etc.), i found this book to be the only book i need. while it doesnt spend a whole lot of time on theory & intuition, it does do a good job on fundamental math that i have been expected to master. after my profs speeds thru lecture at breakneck speed, mixing concepts & calculations, i go home & read this book to understand the math & practice the concepts.
the book is the BEST book i have used in b-school.
A good bridge between math and fixed income products.......2004-01-16
Even though this is not really a advanced book on fixed income products analysis/modeling. It is, for technical background, a good induction book for basic fixed income products with basic analysis tools.
This is a real beginner's guide.......2001-11-05
The book was a great disappointment to me. The title and subtitle (Analytical and statistical techniques) led me to think that the book covered fixed income securities at a sophisticated and advanced level. Not so. If you need to learn how to calculate a PV, FV or IRR, this is the book for you...otherwise probably not!
The ýPerfectý Book For Me.......2001-10-04
Many of us will be retiring in the next few years, or may already be retired. Fixed income from our financial investments will be an important part of our lives. How many of us really know what Yield To Maturity (YTM) means? Or, for that matter, the myriad of other measurements associated with fixed-income instruments? As a retired engineer with a propensity for computational mathematics, it is my natural desire to optimize my fixed-income portfolio. This "Perfect" book gives me a good head start in my endeavors. The text is logical and easy to understand. The mathematics is "cookbook" simple. As a minimum, I will better equipped to determine the correct price for most fixed-income investments. With enough effort, I should be able to manage my own near "Perfect" portfolio. Fabozzi picks up where most writers stop, namely, the quantitative analysis.
Thank you Frank.
Good reference.......2000-01-14
Ok, so Fabozzi is the ultimate in reference material and general fixed income awareness. The book is good, it provides most of what you need to understand fixed income valuations, particularly essential bond pricing. However, the book really serves well mostly as a reference. There are few true explanations of formulas. With a little effort you can figure out the derivations yourself, but still, is not the point of buying a book with "mathematics" in the title to have something to guide you through that step? Again, worth having, but not the ultimate to explain the nitty gritty, though not sure that that text exists.
Average customer rating:
- Were we reading the same book?
- Riddled with mistakes
|
Fixed Income Markets: Instruments, Applications, Mathematics (Wiley Finance)
Moorad Choudhry
Manufacturer: Wiley
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ASIN: 0470821361 |
Book Description
This book is a comprehensive and in-depth account of the global debt capital markets. It covers a wide range of instruments and their applications, including derivative instruments. Highlights of the book include:
- Detailed description of the main products in use in the fixed income markets today, including analysis and valuation
- Summary of market conventions and trading practices
- Extensive coverage of associated derivatives including futures, swaps, options and credit derivatives
- Writing style aimed at a worldwide target audience
- An overview of trading and investment strategy.
The contents will be invaluable reading for anyone with an interest in debt capital markets, especially investors, traders, bond salespersons, risk managers and banking consultants.
Customer Reviews:
Were we reading the same book?.......2006-01-16
Excellent book on all aspects of fixed income trading - 5 stars
This book is the best reference text for fixed income practitioners I have come across. It presents in clear, accessible terms very high quality explanations of some very difficult concepts. This includes the term structure, spot and forward rates, hedging with derivatives, credit derivatives and structured finance products. It is a complete text. What makes it stands out compared to other texts is the wealth of information of a practical kind, of direct benefit to market traders. For example, there is a very clear explanation of how to put on yield curve relative value trades, how one conducts the analysis, puts on the trade and also the hedge.
There are one or two typos in the text but really, so what? There is valuable information here that bankers will be hard pressed to find anywhere else. Say you are a proporietary trader in credit derivatives, and you are putting on negative basis trades in cash and CDS. To make the position DV01 (or PVBP) neutral you will hedge using cash, futures or swaps. However over time, if you put in large enough positions, you will have an exposure to the swap spread itself. So you will be DV01 neutral but exposed to changes in the swap spread. Is there an instrument you can use to hedge this exposure? Well yes, there is - the SwapNote contract, a future whose underlying is the 5-year swap rate. How do I find out about SwapNote and how it trades? Not surprisingly, it's all there in Professor Choudhry's book. It is his energy and enthusisam in sharing with the wider finance community some of the most arcane facts about finance that make his books so brilliant.
Riddled with mistakes.......2005-12-27
I'm sure some good things must be said about Dr. Choudhry's book. However, the book is riddled with mistakes, errors anbd mis-spellings. It is an unreliable source. I am personally upset I spent so much money and I can't trust a single word it says.
Next time, please proof read your books.
Average customer rating:
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Fixed Income Mathematics
Robert Zipf
Manufacturer: Academic Press
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Interest Rate Risk Modeling : The Fixed Income Valuation Course
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Fixed Income Mathematics, 4E
ASIN: 0127817212 |
Book Description
An introduction to common fixed income instruments and mathematics, this book offers explanations, exercises, and examples without demanding sophisticated mathematics. Not only does the author use his business and teaching experience to highlight the fundamentals of investment and management decision-making, but he also offers questions and exercises that suggest the applicability of fixed income mathematics. Written for the reader with a general mathematics background, this self-teaching book is suffused with examples that also make it a handy reference guide. It should serve as a gateway to financial mathematics and to increased competence in business analysis.
* An easy-to-understand introduction to the mathematics of common fixed income instruments
* Offers students explanations, exercises, and examples without demanding sophisticated mathematics
* Uses international comparisons to illustrate how interest is compounded
Average customer rating:
- The book is too short, 2nd edition coming?
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Understanding and Managing Interest Rate Risks (Series in Mathematical Finance, V. 1)
Ren-Raw Chen
Manufacturer: World Scientific Publishing Company
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ASIN: 9810227515 |
Customer Reviews:
The book is too short, 2nd edition coming?.......1998-02-10
I like this book. It provides a good summary of a complete list of the term structure models. Best of all, it contains a consistent methodology for deriving interest rate derivatives. The forward measure technique is explained very well. However, symbols are not clear and later chapters are too "concise". I would like to see more numerical examples. Also, an inclusion of numerical methods should be helpful.
Average customer rating:
|
Fixed Income Mathematics
Manufacturer: MCGRAW-HILL BOOK COM
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Binding: Hardcover
ASIN: B000GTC436 |
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Fixed Income Analysis (CFA Institute Investment Series)
