Fixed Income Mathematics, Fifth Edition: Analytical and Statistical Techniques (Hardcover)
The standard reference for fixed income portfolio managers--fully updated with new analytical frameworks
Fixed Income Mathematics is known around the world as the leading guide to understanding the concepts, valuation models for bonds with embedded option, mortgage-backed securities, asset-backed securities, and other fixed income instruments, and portfolio analytics.
Fixed Income Mathematics begins with basic concepts of the mathematics of finance, then systematically builds on them to reveal state-of-the-art methodologies for evaluating them and managing fixed-income portfolios. Concepts are illustrated with numerical examples and graphs, and you need only a basic knowledge of elementary algebra to understand them.
This new edition includes several entirely new chapters―Risk-Adjusted Returns, Empirical Duration, Analysis of Floating-Rate Securities, Holdings-Based Return Attribution Analysis, Returns-Based Style Attribution Analysis, Measuring Bond Liquidity, and Machine Learning―and provides substantially revised chapters on:
- Interest rate modeling
- Probability theory
- Optimization models and applications to bond portfolio management
- Historical return measures
- Measuring historical return volatility