Fixed Income Analytics by Kenneth D. Garbade

Fixed Income Analytics

byKenneth D. Garbade

Paperback | November 20, 1996

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Fixed Income Analytics brings together twenty influential papers written by Kenneth Garbade with members of the Cross Markets Research Group of Bankers Trust Company between 1983 and 1990. Written by and for practitioners in the U.S. Treasury securities markets, it is one of the few, if not only, books on fixed income analysis that focuses on applicable techniques while remaining analytically rigorous.Divided into four parts, Fixed Income Analytics presents quantitative methodologies for the analysis of fixed income securities, such as U.S. Treasury bills, notes, bonds, and STRIPS that have no credit risk. Examined in part I are basic concepts of bond yield and bond duration; in part II, yield curves and the problem of assessing relative value; in part III, topics in fixed income portfolio management associated with change in the shape of the yield curve -- yield curve trades, butterfly trades, and hedging -- and in part IV, the characteristics and consequences of fluctuations in the shape of the yield curve.

About The Author

Kenneth D. Garbade is a Vice President of the Federal Reserve Bank of New York.

Details & Specs

Title:Fixed Income AnalyticsFormat:PaperbackDimensions:486 pages, 10 × 7 × 1.4 inPublished:November 20, 1996Publisher:The MIT PressLanguage:English

The following ISBNs are associated with this title:

ISBN - 10:0262525577

ISBN - 13:9780262525572

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Fixed Income Analytics brings together twenty influential papers written by Kenneth Garbade with members of the Cross Markets Research Group of Bankers Trust Company between 1983 and 1990. Written by and for practitioners in the U.S. Treasury securities markets, it is one of the few, if not only, books on fixed income analysis that focuses on applicable techniques while remaining analytically rigorous.Divided into four parts, Fixed Income Analytics presents quantitative methodologies for the analysis of fixed income securities, such as U.S. Treasury bills, notes, bonds, and STRIPS that have no credit risk. Examined in part I are basic concepts of bond yield and bond duration; in part II, yield curves and the problem of assessing relative value; in part III, topics in fixed income portfolio management associated with change in the shape of the yield curve -- yield curve trades, butterfly trades, and hedging -- and in part IV, the characteristics and consequences of fluctuations in the shape of the yield curve. Fixed Income Analytics is an outstanding combination of theprecision of academics with the institutional detail of the real world.It is required reading for any serious MBA student.