Fixed Income Analytics

Bonds in High and Low Interest Rate Environments

Authors: marty, wolfgang

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  • 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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eBook 74,89 €
price for Spain (gross)
  • ISBN 978-3-030-47158-3
  • Digitally watermarked, DRM-free
  • Included format: PDF, EPUB
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
  • Institutional customers should get in touch with their account manager
Hardcover 93,59 €
price for Spain (gross)
About this Textbook

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. 

About the authors

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).

Table of contents (10 chapters)

Table of contents (10 chapters)

Buy this book

eBook 74,89 €
price for Spain (gross)
  • ISBN 978-3-030-47158-3
  • Digitally watermarked, DRM-free
  • Included format: PDF, EPUB
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
  • Institutional customers should get in touch with their account manager
Hardcover 93,59 €
price for Spain (gross)
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Bibliographic Information

Bibliographic Information
Book Title
Fixed Income Analytics
Book Subtitle
Bonds in High and Low Interest Rate Environments
Authors
Copyright
2020
Publisher
Springer International Publishing
Copyright Holder
Springer Nature Switzerland AG
eBook ISBN
978-3-030-47158-3
DOI
10.1007/978-3-030-47158-3
Hardcover ISBN
978-3-030-47157-6
Edition Number
2
Number of Pages
XXI, 226
Number of Illustrations
98 b/w illustrations
Topics