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Bond Markets, Analysis, and Strategies, tenth edition

Author Frank J. Fabozzi, Francesco A. Fabozzi
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Hardcover
$150.00 US
The MIT Press
On sale Dec 07, 2021 | 936 Pages | 9780262046275
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The updated edition of a widely used textbook that covers fundamental features of bonds, analytical techniques, and portfolio strategy.
 

This new edition of a widely used textbook covers types of bonds and their key features, analytical techniques for valuing bonds and quantifying their exposure to changes in interest rates, and portfolio strategies for achieving a client’s objectives. It includes real-world examples and practical applications of principles as provided by third-party commercial vendors. This tenth edition has been substantially updated, with two new chapters covering the theory and history of interest rates and the issues associated with bond trading. Although all chapters have been updated, particularly those covering structured products, the chapters on international bonds and managing a corporate bond portfolio have been completely revised.
 
The book covers the basic analytical framework necessary to understand the pricing of bonds and their investment characteristics; sectors of the debt market, including Treasury securities, corporate bonds, municipal bonds, and structured products (residential and commercial mortgage-backed securities and asset-backed securities); collective investment vehicles; methodologies for valuing bonds and derivatives; corporate bond credit risk; portfolio management, including the fundamental and quantitative approaches; and instruments that can be used to control portfolio risk.
 
Preface ix
Acknowledgments xi
1 Introduction 1
2 Pricing of Bonds 19
3 Measuring Yield 45
4 Bond Price Volatility 71
5 The Theory and History of Interest Rates 109
6 Factors Affecting Bond Yields and the Term Structure of Interest Rates 125
7 Treasury and Federal Agency Securities 161
8 Corporate Debt Instruments 175
9 Municipal Securities 209
10 International Bonds 229
11 Residential Mortgage Loans 259
12 Agency Mortgage Pass-Through Securities 273
13 Agency Collateralized Mortgage Obligations and Stripped Mortgage-Backed Securities 307
14 Nonagency Residential Mortgage-Backed Securities 349
15 Commercial Mortgage Loans and Commercial Mortgage-Backed Securities 365
16 Asset-Backed Securities 379
17 Collective Investment Vehicles 403
18 Liquidity and Trading of Credit/Spread Products 423
19 Analysis of Bonds with Embedded Options 445
20 Analysis of Residential Mortgage-Backed Securities 477
21 Analysis of Convertible Bonds 511
22 Corporate Bond Credit Analysis 531
23 Credit Risk Modeling 561
24 Bond Portfolio Management Strategies 583
25 Bond Portfolio Construction 629
26 Managing a Corporate Bond Portfolio 661
27 Liability-Driven Investing for Defined Benefit Pension Plans 693
28 Bond Performance Measurement and Evaluation 713
29 Interest-Rate Futures Contracts 731
30 Interest-Rate Options 775
31 Interest-Rate Swaps, Forward-Rate Agreements, Caps, and Floors 819
32 Credit Default Swaps 857
Appendix: The Investment Management Agreement 881
Index 891
Frank J. Fabozzi is Professor of Practice at Johns Hopkins Carey Business School. He has held positions at EDHEC Business School, Princeton, MIT, NYU, and Carnegie Mellon. He is the author of Capital Markets (fifth edition, MIT Press) and Entrepreneurial Finance and Accounting for High-Tech Companies (MIT Press) and coauthor of Foundations of Global Financial Markets and Institutions. Francesco A. Fabozzi is Managing Editor of the Journal of Financial Data Science, coauthor of two books on asset management, and a doctoral student in data science at Stevens Institute of Technology.
 



 
Frank J. Fabozzi View titles by Frank J. Fabozzi
Francesco A. Fabozzi View titles by Francesco A. Fabozzi

About

The updated edition of a widely used textbook that covers fundamental features of bonds, analytical techniques, and portfolio strategy.
 

This new edition of a widely used textbook covers types of bonds and their key features, analytical techniques for valuing bonds and quantifying their exposure to changes in interest rates, and portfolio strategies for achieving a client’s objectives. It includes real-world examples and practical applications of principles as provided by third-party commercial vendors. This tenth edition has been substantially updated, with two new chapters covering the theory and history of interest rates and the issues associated with bond trading. Although all chapters have been updated, particularly those covering structured products, the chapters on international bonds and managing a corporate bond portfolio have been completely revised.
 
The book covers the basic analytical framework necessary to understand the pricing of bonds and their investment characteristics; sectors of the debt market, including Treasury securities, corporate bonds, municipal bonds, and structured products (residential and commercial mortgage-backed securities and asset-backed securities); collective investment vehicles; methodologies for valuing bonds and derivatives; corporate bond credit risk; portfolio management, including the fundamental and quantitative approaches; and instruments that can be used to control portfolio risk.
 

Table of Contents

Preface ix
Acknowledgments xi
1 Introduction 1
2 Pricing of Bonds 19
3 Measuring Yield 45
4 Bond Price Volatility 71
5 The Theory and History of Interest Rates 109
6 Factors Affecting Bond Yields and the Term Structure of Interest Rates 125
7 Treasury and Federal Agency Securities 161
8 Corporate Debt Instruments 175
9 Municipal Securities 209
10 International Bonds 229
11 Residential Mortgage Loans 259
12 Agency Mortgage Pass-Through Securities 273
13 Agency Collateralized Mortgage Obligations and Stripped Mortgage-Backed Securities 307
14 Nonagency Residential Mortgage-Backed Securities 349
15 Commercial Mortgage Loans and Commercial Mortgage-Backed Securities 365
16 Asset-Backed Securities 379
17 Collective Investment Vehicles 403
18 Liquidity and Trading of Credit/Spread Products 423
19 Analysis of Bonds with Embedded Options 445
20 Analysis of Residential Mortgage-Backed Securities 477
21 Analysis of Convertible Bonds 511
22 Corporate Bond Credit Analysis 531
23 Credit Risk Modeling 561
24 Bond Portfolio Management Strategies 583
25 Bond Portfolio Construction 629
26 Managing a Corporate Bond Portfolio 661
27 Liability-Driven Investing for Defined Benefit Pension Plans 693
28 Bond Performance Measurement and Evaluation 713
29 Interest-Rate Futures Contracts 731
30 Interest-Rate Options 775
31 Interest-Rate Swaps, Forward-Rate Agreements, Caps, and Floors 819
32 Credit Default Swaps 857
Appendix: The Investment Management Agreement 881
Index 891

Author

Frank J. Fabozzi is Professor of Practice at Johns Hopkins Carey Business School. He has held positions at EDHEC Business School, Princeton, MIT, NYU, and Carnegie Mellon. He is the author of Capital Markets (fifth edition, MIT Press) and Entrepreneurial Finance and Accounting for High-Tech Companies (MIT Press) and coauthor of Foundations of Global Financial Markets and Institutions. Francesco A. Fabozzi is Managing Editor of the Journal of Financial Data Science, coauthor of two books on asset management, and a doctoral student in data science at Stevens Institute of Technology.
 



 
Frank J. Fabozzi View titles by Frank J. Fabozzi
Francesco A. Fabozzi View titles by Francesco A. Fabozzi

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