Handbook of Fixed-Income Securities

A comprehensive guide to the current theories and methodologies intrinsic to fixed-income securities

Written by well-known experts from a cross-section of academia and finance, Handbook of Fixed-Income Securities features a compilation of the most up-to-date fixed-income securities techniques and methods. The book presents crucial topics of fixed-income in an accessible and logical format. Emphasizing empirical research and real-life applications, the book explores a wide range of topics from the risk and return of fixed-income investments, to the impact of monetary policy on interest rates, to the post-crisis new regulatory landscape.

Well-organized to cover critical topics in fixed income, Handbook of Fixed-Income Securities is divided into eight main sections that feature:

An introduction to fixed-income markets such as Treasury bonds, inflation-protected securities, money markets, mortgage-backed securities, and the basic analytics that characterize them
Monetary policy and fixed-income markets, which highlight the recent empirical evidence on the central banks’ influence on interest rates, including the recent quantitative easing experiments
Interest rate risk measurement and management with a special focus on the most recent techniques and methodologies for asset-liability management under regulatory constraints
The predictability of bond returns with a critical discussion of the empirical evidence on time-varying bond risk premia, both in the U.S. and abroad, and its sources, such as liquidity and volatility
Advanced topics, which focuses on the most recent research on term structure models and econometrics, the dynamics of bond illiquidity, and the puzzling dynamics of stocks and bonds
Derivatives markets, which includes a detailed discussion of the new regulatory landscape after the financial crisis as well as an introduction to no-arbitrage derivatives pricing
Further topics on derivatives pricing that covers modern valuation techniques, such as Monte Carlo simulations, volatility surfaces, and no-arbitrage pricing with regulatory constraints
Corporate and sovereign bonds with a detailed discussion of the tools required to analyze default risk, the relevant empirical evidence, and a special focus on the recent sovereign crises

A complete reference for practitioners in the fields of finance, business, applied statistics, econometrics, and engineering, Handbook of Fixed-Income Securities is also a useful supplementary textbook for graduate and MBA-level courses on fixed-income securities, risk management, volatility, equities, bonds, derivatives, and financial markets.