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Other titles in the Wiley Finance series:
Analysing and Interpreting the Yield Curve (Wiley Finance)by Moorad Choudhry
Synopses & Reviews
The yield curve is the defining indicator of the global debt capital markets, and an understanding of it is vital to the smooth running of the economy as a whole. All participants in the market, be they issuers of capital, investors or banking intermediaries, will have a need to estimate, interpret and understand the yield curve. Fund managers that accurately predict the shape and direction of the curve will consistently outperform those that do not.
This groundbreaking new book offers:
The yield curve is the cornerstone of the global debt capital markets, and as such, its understanding is vital for the health of the global economy as a whole. Stripping away complicated mathematics to reveal basic concepts, Yield Curve Analysis provides readers with sufficient grounding to enable them to evaluate completely the current and expected shape of the yield curve. The aim is leave readers with the ability to extend their knowledge through further research of their own, as well as enable market professionals to have a better understanding of the latest analytical techniques related to this topic.
One of today's fastest growing investment and risk management mechanisms such as synthetic securitisations and structured products are revolutionizing the financial industry and changing the way banks, institutional investors, and securities traders do business both domestically and globally. While potentially beneficial, these important instruments are complex structures that are often misunderstood and frequently mishandled. This groundbreaking book offers a succinct and focused resource complete with global case studies on how they work, and how best to capitalize on them.
About the Author
Moorad Choudhry is a vice-president in Structured Finance Services with JP Morgan Chase Bank in London. Prior to this he worked as a gilt-edged market maker and Treasury trader at ABN Amro Hoare Govett Sterling Bonds Limited, and as a sterling proprietary trader at Hambros Bank Limited. Moorad has lectured on the bond markets at the London School of Economics, the ISMA Centre in Reading, London Guildhall University and the International Faculty of Finance, and is a senior Fellow at the Centre for Mathematical Trading and Finance, CASS Business School, London. He is a Fellow of the Securities Institute and a Fellow of the Global Association of Risk Professionals. Moorad’s published work includes journal articles and books. He is also co-author of the book The Global Money Markets, written with Professor Frank Fabozzi. Moorad obtained an MA in Economics from the University of Reading and an MBA from Henley Management College. He is in the process of completing his PhD from Birkbeck, University of London. He is Editor of the Journal of Bond Trading and Management.
Table of Contents
PART I: INTRODUCTION TO BOND YIELD AND THE YIELD CURVE.
Chapter 1. Bond Yield Measurement.
Chapter 2. The Yield Curve.
Chapter 3. A Further Look at Spot and Forward Rates.
PART II: YIELD CURVE MODELING.
Chapter 4. Interest Rate Modeling Part I: An Introduction to Basic Concepts.
Chapter 5. Interest Rate Modeling Part II: Dynamics of Asset Prices.
Chapter 6. Interest Rate Models: Part I.
Chapter 7. Interest Rate Models: Part II.
Chapter 8. The Index-linked Bond Yield Curve.
Chapter 9. Analysing the Long Bond Yield.
PART III: FITTING THE YIELD CURVE.
Chapter 10. Estimating and Fitting the Curve: Part I.
Chapter 11. Estimating and Fitting the Curve: Part II.
PART IV: THE YIELD CURVE AND RELATIVE-VALUE TRADING.
Chapter 12. Yield Curves and Relative Value.
Chapter 13. Approaches to Yield Spread Trading Using Government Bonds.
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