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The yield curve is the defining indicator of the global debt capital markets, and an understanding of it is vital to the smooth running of the economy as a whole. All participants in the market, be they issuers of capital, investors or banking intermediaries, will have a need to estimate, interpret and understand the yield curve. Fund managers that accurately predict the shape and direction of the curve will consistently outperform those that do not.
This groundbreaking new book offers:
- An intuitive account of a very important technical subject, cutting through the mathematics to reveal key concepts
- Market approaches to enable fund managers to evaluate the current and expected shape of the yield curve
- An opportunity for market professionals to have an understanding of the latest analytical techniques.
Written by an experienced market practitioner, this book is a clear and accessible account of an important financial topic.
- Sales Rank: #211388 in Books
- Published on: 2004-02-13
- Original language: English
- Number of items: 1
- Dimensions: 9.25" h x 1.00" w x 6.30" l, 1.51 pounds
- Binding: Hardcover
- 300 pages
From the Inside Flap
The yield curve is the defining indicator of the global debt capital markets, and an understanding of it is vital to the smooth running of the economy as a whole. All participants in the market, be they issuers of capital, investors or banking intermediaries, will have a need to estimate, interpret and understand the yield curve. Fund managers that accurately predict the shape and direction of the curve will consistently outperform those that do not.
This groundbreaking new book offers:
- An intuitive account of a very important technical subject, cutting through the mathematics to reveal key concepts
- Market approaches to enable fund managers to evaluate the current and expected shape of the yield curve
- An opportunity for market professionals to have an understanding of the latest analytical techniques.
From the Back Cover
One of today's fastest growing investment and risk management mechanisms such as synthetic securitisations and structured products are revolutionizing the financial industry and changing the way banks, institutional investors, and securities traders do business both domestically and globally. While potentially beneficial, these important instruments are complex structures that are often misunderstood and frequently mishandled. This groundbreaking book offers a succinct and focused resource complete with global case studies on how they work, and how best to capitalize on them.
About the Author
Moorad Choudhry is a vice-president in Structured Finance Services with JP Morgan Chase Bank in London. Prior to this he worked as a gilt-edged market maker and Treasury trader at ABN Amro Hoare Govett Sterling Bonds Limited, and as a sterling proprietary trader at Hambros Bank Limited. Moorad has lectured on the bond markets at the London School of Economics, the ISMA Centre in Reading, London Guildhall University and the International Faculty of Finance, and is a senior Fellow at the Centre for Mathematical Trading and Finance, CASS Business School, London. He is a Fellow of the Securities Institute and a Fellow of the Global Association of Risk Professionals. Moorad’s published work includes journal articles and books. He is also co-author of the book The Global Money Markets, written with Professor Frank Fabozzi. Moorad obtained an MA in Economics from the University of Reading and an MBA from Henley Management College. He is in the process of completing his PhD from Birkbeck, University of London. He is Editor of the Journal of Bond Trading and Management.�
Most helpful customer reviews
11 of 11 people found the following review helpful.
Very weak
By sh
Sorry to give this book a one star. But it is advertised by the publisher and the author as a tool for practitioners, not as a book to cram before the finals and then toss away for good.
The book reads like a collection of old academic papers without any connection to practical applications.
After using relatively advanced math, and going into unnecessary details of the old and useless academic theories, the applications is covered at a level of a introductory MBA class. You want a hedged steepener? Go ahead, "just match DV01, says the author. What about the fact the yield curves normally don't shift in parallel? That's where all those fancy models could come in to help construct a better hedge. The author's advice? He doesn't even mention the issue. What's the point of spending most of the book describing yield curve models that are never connected to even the most basic real problems?
A lot of comments are cryptic and poorly worded. You could match durations instead of DV01, says the book, but it doesn't work any better in practice. Huh?.. what's the difference? (There may be one, depending on the definition, but the author doesn't bother to explain.)
What about partial duration, principal components or any other standard yield curve modeling tools? Keep hoping. This is apparently not academic enough to mention.
Very, very disappointed.
2 of 3 people found the following review helpful.
Good for getting a feel of the subject
By dionjuan2004
I work with Interest Rate Derivatives and I found this book an easy read.
This book will be particularly helpful to folks who are more interested in application part of it. I would say this is the kind of book I'll want my traders to read, if they want to understand the logic behind the models I make. This book will not teach them Stochastic Calculus or PDEs, but this will definitely give them everything they need to understand the logic - without exactly covering all the mathematical nitty-gritties. And if they want to know more, the book abounds in some very useful references. Has a few typos. But almost all of them are pretty obvious ones - so not much pain there.
All in all, I would say that at its price this book should certainly be in everyone's library.
13 of 18 people found the following review helpful.
Example is always more efficacious than percept. A must buy
By H Fawzi
Yield Curve modeling is on of the major subjects of fixed income, a subject of great power and benefits. As the author explains eloquently (page 56) that the yield curve is very easy to grasp the basics, but difficult to become expert at. It is linked by countless equation with vast underlying framework.
Despite its forbidding nature yield curve modeling is vital component of the fixed income market. It has wide range of applications and practical importance. However, the lack understanding so often encountered leaves students and market investors with a gap between able to use the theory and being able to do so. One way of promoting understanding and bridging this gap is the method this book follows. The way of this book is to make the reader understand the subject by providing detailed explanation with carefully selected examples, show how principles and concepts may be applied to particular problem. And then offering the reader examples that differ slightly but which can be tackled by an extension of the approach that have been used previously. All this is evident in chapter one. In chapter two the author selects well motivated examples to demonstrate specific principle and concepts.
The book starts with an overview of the concept of bond yields and bond yield measurement. It then discusses the basic terminology of the yield curve. The core topics of classical yield curve are then examined in chapter two. It includes brief introduction to each topic where important results are stated and sometimes derived or reference given, followed by a number of practical example worked out in detail. Part two of the book deals with the very practical topic of yield curve modeling.
One of the powerful features of this book is that it provides relationship between theory and market practice. To sum up, the author explains all the components of the yield curve modeling at the atomic level.
Mo
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