Fixed Income Mathematics, Fifth Edition: Analytical and Statistical Techniques

Fixed Income Mathematics is the leading guide to understanding the concepts and evaluative methodologies for bonds, mortgage-backed securities, asset-backed securities, and other fixed income instruments. The fifth edition includes new chapters on risk-adjusted returns, empirical duration, analysis of floating-rate securities, holdings-based return attribution analysis, returns-based style attribution analysis, measuring bond liquidity, descriptive measures, and machine learning. It also provides revised chapters on interest rate modeling, probability theory, optimization models, historical return measures, and measuring historical return volatility.

Format: Hardback
Length: 624 pages
Publication date: 30 September 2022
Publisher: McGraw-Hill Education

The fifth edition of Fixed Income Mathematics, a renowned guide for high-level investors, has been released, covering the latest tools and techniques for managing fixed-income portfolios. Known worldwide as the go-to resource for understanding bonds, mortgage-backed securities, asset-backed securities, and other fixed income instruments, this edition ensures you stay up-to-date with the newest analytical frameworks.

Fixed Income Mathematics begins by delving into the fundamental mathematics of finance, gradually building upon these concepts to unveil advanced methodologies for evaluating and managing fixed-income portfolios. Concepts are illustrated with numerical examples and graphs, making them accessible to individuals with a basic knowledge of elementary algebra.

This new edition boasts numerous entirely new chapters, including Risk-Adjusted Returns, Empirical Duration, Analysis of Floating-Rate Securities, Holdings-Based Return Attribution Analysis, Returns-Based Style Attribution Analysis, Measuring Bond Liquidity, Descriptive Measures, and Machine Learning. Additionally, several chapters have been extensively revised, covering topics such as Interest rate modeling, Probability theory, Optimization models and applications to bond portfolio management, Historical return measures, Measuring historical return volatility, and more.

Over the past 15 years, the concepts and methodologies for evaluating fixed income securities have undergone significant transformations. This edition elucidates the numbers behind these changes and equips you with the knowledge to consistently control both the cost and risk of investing in debt. Whether you're a seasoned investor or a novice seeking to expand your knowledge in this field, Fixed Income Mathematics is an indispensable resource that will help you navigate the complex world of fixed income with confidence and success.

Weight: 888g
Dimension: 162 x 236 x 31 (mm)
ISBN-13: 9781264258277
Edition number: 5 ed