Fixed Income Analytics: Bonds in High and Low Interest Rate Environments
Autor Wolfgang Martyen Limba Engleză Paperback – 23 aug 2018
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Specificații
ISBN-13: 9783319839660
ISBN-10: 3319839667
Pagini: 204
Ilustrații: XVII, 204 p. 79 illus., 7 illus. in color.
Dimensiuni: 155 x 235 mm
Ediția:Softcover reprint of the original 1st ed. 2017
Editura: Springer International Publishing
Colecția Springer
Locul publicării:Cham, Switzerland
ISBN-10: 3319839667
Pagini: 204
Ilustrații: XVII, 204 p. 79 illus., 7 illus. in color.
Dimensiuni: 155 x 235 mm
Ediția:Softcover reprint of the original 1st ed. 2017
Editura: Springer International Publishing
Colecția Springer
Locul publicării:Cham, Switzerland
Cuprins
Introduction.- The Time Value of Money.- The Flat Yield Curve Concept.- The Term Structure of Interest Rate.- Spread Analysis.- Different Fixed Income Instruments.- Fixed Income Benchmarks.- Convertible.- Appendix.
Notă biografică
Dr. Wolfgang Marty is Senior Investment Strategist at AgaNola Pfaeffikon, SZ, Switzerland. Between 1998 and 2015 he was working with Credit Suisse. He joined Credit Suisse Asset Management in 1998 as Head Product Engineering. He specializes in Performance Attribution, Portfolio Optimization and Fixed Income in general. Prior to joining Credit Suisse Asset Management, Marty worked for UBS AG in London, Chicago and Zurich. He started his career as an assistant for applied mathematics at the Swiss Federal Institute of Technology.
Marty holds a university degree in Mathematics from the Swiss Federal Institute of Technology in Zurich and a doctorate from the University of Zurich. He chairs the method and measure subcommittee of the European Bond Commission (EBC) and is president of the Swiss Bond Commission (OKS). Furthermore he is a member of the Fixed Income Index Commission at the Swiss Stock Exchange and a member of the Index team that monitors the Liquid Swiss Index (L
SI).
Marty holds a university degree in Mathematics from the Swiss Federal Institute of Technology in Zurich and a doctorate from the University of Zurich. He chairs the method and measure subcommittee of the European Bond Commission (EBC) and is president of the Swiss Bond Commission (OKS). Furthermore he is a member of the Fixed Income Index Commission at the Swiss Stock Exchange and a member of the Index team that monitors the Liquid Swiss Index (L
SI).
Textul de pe ultima copertă
This book analyses and discusses bonds and bond portfolios. Different yields and duration measures are investigated. The transition from a single bond to a bond portfolio leads to the equation for the internal rate of return. Its solution is analyzed and compared to different approaches proposed in the financial industry. The impact of different yield scenarios on a model bond portfolio is illustrated. Market and credit risk are introduced as independent sources of risk. Different concepts for assessing credit markets are described. Lastly, an overview of the benchmark industry is offered and an introduction to convertible bonds is given. This book is a valuable resource not only for students and researchers but also for professionals in the financial industry.
Caracteristici
Broadens understanding of the basic concepts of fixed income with easy-to-understand examples Goes beyond the traditional linearization approaches to provide deeper mathematical insights Explains the notion of bond convexity
Recenzii
“The basics in the study of financial instruments that promise a fixed income to the holder are concisely covered in this self-contained text. … this book could be useful to portfolio managers, investors, or anyone who wants to initiate or continue a comprehensive study of financial instruments.” (Hernando Burgos-Soto, zbMATH 1482.91004, 2022)