Screen LibraryInterest rate markets : a practical approach to fixed income /
"The interest rate market is a marketplace for the allocation of trillions of dollars from savers to borrowers and institutions of all sizes and types participate in the market. As other fixed income markets have grown over the past two decades, managing interest rate risk inherent in almost an...
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| Main Authors: | |
|---|---|
| Corporate Authors: | |
| Published: |
Wiley,
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| Publisher Address: | Hoboken, N.J. : |
| Publication Dates: | 2011. |
| Literature type: | eBook |
| Language: | English |
| Series: |
Wiley trading
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| Subjects: | |
| Online Access: |
http://onlinelibrary.wiley.com/book/10.1002/9781119200949 |
| Summary: |
"The interest rate market is a marketplace for the allocation of trillions of dollars from savers to borrowers and institutions of all sizes and types participate in the market. As other fixed income markets have grown over the past two decades, managing interest rate risk inherent in almost any fixed income instrument has become a crucial task even for portfolio managers not in interest rate markets directly. The book discusses the typical quantitative tools used to analyze rates markets such as regression, looks at the range of fixed income markets on the cash side, analyzes interest rate movements, and delves into derivatives side of the business. Beyond just mechanics of products, the markets themselves are discussed including fundamental drivers of interest rates and interest rate volatility. Fundamentals are only one piece of the puzzle and the chapters also discuss the main players in the rates markets, their motivations, and how to spot changing behavior to stay ahead of the curve. The key takeaways from these chapters is to understand the structural nature of the rates markets and develop a framework for thinking about these markets intuitively rather than just focusing on the setup of the markets currently, which is liable to change. To summarize, the focus of the book will be on the following ideas: quantitative tools which are useful in financial markets mechanics of interest rate products, both cash bonds and derivatives including swaps, options, and futures thought processes for forming a view on interest rates and related variables such as swap spreads types of trades commonly done by professionals in the market to express views and detailed discussions of methods to accurately set up the trades emphasizing the importance of hedging and quantitatively managing risks inherent in interest rate trades common pitfalls and risks facing interest rate trades especially examples from market breakdowns in 2008"--Provided by publisher. |
| Carrier Form: | 1 online resource (xvi, 346 pages) : illustrations. |
| Bibliography: | Includes bibliographical references and index. |
| ISBN: |
9781119200949 1119200946 9781118017777 1118017773 1283026635 9781283026635 |
| Index Number: | HG1621 |
| CLC: | F830.9 |
| Contents: | Interest Rate Markets; Contents; Acknowledgments; Introduction; CHAPTER 1 Tools of the Trade; CHAPTER 2 Bonds; CHAPTER 3 Fixed Income Markets; CHAPTER 4 Interest Rate Futures; CHAPTER 5 Interest Rate Swaps; CHAPTER 6 Understanding Drivers of Interest Rates; CHAPTER 7 Carry and Relative Value Trades; CHAPTER 8 Hedging Risks in Interest Rate Products; CHAPTER 9 Trading Swap Spreads; CHAPTER 10 Interest Rate Options and Trading Volatility; CHAPTER 11 Treasury Futures Basis and Rolls; CHAPTER 12 Conditional Trades; References; About the Author; About the Web Site; Index. |