Fixed Income Mathematics, 4E

by Frank Fabozzi

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Product 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.

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Average Customer Review: 5 out of 5 stars

11 of 15 people found the following review helpful:

5 out of 5 stars

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.

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