Fixed-Income Securities: Valuation, Risk Management and Portfolio Strategies (The Wiley Finance Series)

The text offers an accessible and detailed account of interest rates and risk management in bond markets. It develops insights into different bond portfolio strategies, and illustrates how various types of derivative securities can be used to shift the risks associated with investing in fixed-income securities. It also provides extensive coverage on all sectors of the bond market, and the techniques for valuing bonds. In addition, explanation is given of state-of-the-art techniques for bond portfolio management, including:

• A description of numerous fixed-income assets and related securities, namely zero coupon government bonds, coupon bearing government bonds, corporate bonds, exchange-traded bond options, bonds with embedded options, floating rate notes, caps, floors and collars, swaptions, credit derivatives, mortgage-backed securities, etc.
• The development of tools to analyse interest rate sensitivity and to value fixed- income securities, with an emphasis on active and passi ve bond management, and an overview of techniques used by mutual fund and also hedge fund managers.

With numerous worked examples covering the valuation, risk management and portfolio strategies of fixed income securities, and imaginative discussion of important topics such as deriving the zero yield curve, deriving credit spreads, and hedging interest rate risk, the text provides an accessible route into the complex worlds of fixed income securities.

"The authors have produced a work of the very highest quality.  As focused as it is comprehensive, this is a superb contribution to the literature..."
Moorad Choudhry, VP, Structured Finance Services, JPMorgan Chase Bank, Senior Fellow, Centre for Mathematical Trading and Finance, CASS Business School, London.

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All Customer Reviews
Average Customer Review:
0 of 0 people found the following review helpful:

the best of the best, 2010-02-06
the best book on the subject but not for beginners (too much math in it)


0 of 0 people found the following review helpful:

Fixed Income at its best..., 2009-01-10
This book is one of the best on the market. It is well organized and written in a logical order to give you a sound basis on Fixed Income Securities. It provides excellent coverage on bonds however I found it lacking when it gets down to the nitty gritty of other Fixed Income Securities such as Swap Structures or ABS/MBS. However those are extremely specialized products and probably best left to their own books. For someone looking for a clear, concise beginning to intermediate level education on Fixed Income this book is for you.


3 of 3 people found the following review helpful:

A sports car with chipped paint, 2008-02-17
..The image I am going for is that of something valuable and desirable, marred by minor but annoying defects. I am quite sure of the book's merits: comparing it with Fabozzi and Tuckman - I haven't read Choudhury's books - I consider it by far the most remarkable, a must-have and a keeper. The book's advantages are:

1. Broader coverage. The won't-find-elsewhere chapters are on yield-curve interpolation, PCA-aided multi-factor hedging, and FI strategies.

2. Wealth of examples, which alone makes it the best choice for a student.

3. Extensive bibliography. A typical chapter comes with 10-20 references including journals from JFI and JPM to JF and RFS.

About midway, the book starts talking about derivatives, and sags. Examples and references continue, formulas begin in earnest, but effective explanation does not follow. On this topic, the book faces numerous and strong competition, and comes behind.

The main problem is that the authors never hired an editor. 'Modelizations' aside, it's disappointing to see ambiguous/misleading language, or find errors in 'rules'. An editor might spot such wrinkles, or advise the authors to beef up some of the chapters (the one on performance evaluation, for example), trim or drop others, or curb the Scare-the-MBA Formula Fest in the derivatives part. I look forward to 2nd edition.


3 of 18 people found the following review helpful:

Mixed Feelings, 2006-03-22
Although I believe that a physics background is much helpful in understanding economy and finance rather than a mathematics background, I think a good knowledge of mathematics can make the financial concepts in this book be clearer to the reader more than the authors present. In other words, some finance persons are written this book yet the mathematics they use mean more in finance for mathematicians than its authors. Unfortunately in this book, the interpretation of mathematics in finance is much less than given by the authors, yet should be much more.


5 of 6 people found the following review helpful:

Tremendous Resource, 2006-02-22
Finally a fixed income book to rival the Fabozzi syndicate. The primary advantage of this book is that the pedagogy is integrated and progressively builds understanding in the same manner as my best professors taught. It is a book of tools that, if mastered, will render an effective fixed income toolbox suitable for mid-level fixed income positions.


An aside on the math in the book . . .
Fixed income is a necessarily quantitative asset class. For example, duration and convexity are first and second derivatives of equations. However, to use duration and convexity you only need a modicum of algebra. Calculus and linear algebra will certainly lead to a deaper understanding of the topics, but it will not diminish usefulness if you lack the maths.

Imagine purchasing a book in french with the english translation on the facing page. Is the value of the book diminished because it includes my non-native french? In my opinion, no. Any [CFA, FRM, PRMIA, MBA student, finance/economics u-grad] has the chops to master the content in this book.

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