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Bond Markets, Analysis and Strategies

ISBN: 9780133391510 | 0133391515
Format: Hardcover
Publisher: Prentice Hall
Pub. Date: 10/1/1995

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SummaryTable of ContentsAuthor Biography
With substantial revision, Bond Markets, Analysis and Strategies, Third Edition, provides extensive coverage on all sectors of the bond market, the techniques for valuing bonds, active and passive bond portfolio strategies, and the role of derivative instruments in controlling the risk of a bond portfolio. The revised edition provides extensive coverage of collateralized mortgage obligations and a new chapter on bond performance measurement and evaluation.
Preface
Introductionp. 1
Pricing of Bondsp. 11
Measuring Yieldp. 33
Bond Price Volatilityp. 53
Factors Affecting Bond Yields and the Term Structure of Interest Ratesp. 80
Treasury and Agency Securities Marketsp. 109
Corporate Debt Instrumentsp. 136
Municipal Securitiesp. 167
Non-U.S. Bondsp.... MORE
Mortgage Loansp. 214
Mortgage Pass-Through Securitiesp. 232
Collateralized Mortgage Obligations and Stripped Mortgage-Backed Securitiesp. 259
Asset-Backed Securitiesp. 315
Analysis of Bonds with Embedded Optionsp. 322
Analysis of Mortgage-Backed Securitiesp. 350
Analysis of Convertible Bondsp. 373
Active Bond Portfolio Management Strategiesp. 385
Indexingp. 411
Liability Funding Strategiesp. 426
Bond Performance Measurement and Evaluationp. 458
Interest-Rate Futures Contractsp. 478
Interest-Rate Optionsp. 507
Interest-Rate Swaps and Agreementsp. 548
Indexp. 575
Table of Contents provided by Blackwell. All Rights Reserved.
Frank J. Fabozzi, CFA, is editor of the Journal of Portfolio Management and an adjunct professor of finance at Yale University's School of Management.

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