Overview
- Broadens the understanding of the basic concepts of fixed income with easy-to-understand examples
- Goes beyond the traditional linearization approaches to provide deeper mathematical insights
- Explains the notion of bond convexity
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Table of contents (10 chapters)
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Front Matter
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Back Matter
Keywords
About this book
This book analyses and discusses bonds and bond portfolios. Different yields and duration measures are investigated for negative and positive interest rates. The transition from a single bond to a bond portfolio leads to the equation for the internal rate of return. Its solution is analysed and compared to different approaches proposed in the financial industry. The impact of different yield scenarios on a model bond portfolio is illustrated. Market and credit risk are introduced as independent sources of risk. Different concepts for assessing credit markets are described. Lastly, an overview of the benchmark industry is offered and an introduction to convertible bonds is given. This second edition also includes a chapter on multi-currency portfolios as well as a discussion on currency hedging. This book is a valuable resource not only for students and researchers but also for professionals in the financial industry.
Reviews
“The basics in the study of financial instruments that promise a fixed income to the holder are concisely covered in this self-contained text. … this book could be useful to portfolio managers, investors, or anyone who wants to initiate or continue a comprehensive study of financial instruments.” (Hernando Burgos-Soto, zbMATH 1482.91004, 2022)
Authors and Affiliations
About the author
Wolfgang Marty is a quantitative analyst of Financial Markets. He is president of the Swiss Bond Commission SFAA and a member of the Fixed Income Index Commission at the Swiss Stock Exchange. From 2016 to 2020 he was a Senior Investment Strategist at AgaNola Pfaeffikon, SZ, Switzerland. Between 1998 and 2015 he was working with Credit Suisse, where he started as Head Product Engineering. He specializes in Performance Attribution, Portfolio Optimization, and Fixed Income, in general. Prior to joining Credit Suisse Asset Management, Dr. Marty worked for UBS AG in London, Chicago, and Zurich.
He started his career as an assistant for applied mathematics at the Swiss Federal Institute of Technology, where he finished his university degree in Mathematics and a doctorate from the University of Zurich. He chaired the subcommittee of the European Bond Commission (EBC) and was a member of the Index team that monitors the Liquid Swiss Index (LSI).
Bibliographic Information
Book Title: Fixed Income Analytics
Book Subtitle: Bonds in High and Low Interest Rate Environments
Authors: Wolfgang Marty
DOI: https://doi.org/10.1007/978-3-030-47158-3
Publisher: Springer Cham
eBook Packages: Economics and Finance, Economics and Finance (R0)
Copyright Information: Springer Nature Switzerland AG 2020
Hardcover ISBN: 978-3-030-47157-6Published: 22 September 2020
Softcover ISBN: 978-3-030-47160-6Published: 23 September 2021
eBook ISBN: 978-3-030-47158-3Published: 21 September 2020
Edition Number: 2
Number of Pages: XXI, 226
Number of Illustrations: 98 b/w illustrations
Topics: Capital Markets, Quantitative Finance, Business Finance, Banking, Risk Management