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BONDS & FIXED INCOME |
FEATURED
SELECTION
When Genius Failed: The Rise and Fall of Long-Term Capital Management
By Roger Lowenstein
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1994, bond arbitrage guru John Meriwether, late of Salomon
Brothers, launched a hedge fund. Its partners included two
soon-to-be Nobel laureates and an ex-vice chairman of the
Federal Reserve. The fund
was to exploit highly quantitative techniques to bet primarily
on bond spreads throughout the world, using large amounts of
leverage to magnify
small returns from supposedly low-risk positions.
The story of the rise and fall of Long Term Capital Management
is compelling not only for people interested in finance, but for
anyone fascinated by the spectacle of very smart people losing
enormous sums of money. The fund's potential bankruptcy so
threatened the world economy that the U.S. Federal Reserve had
to step in to broker a rescue. Lowenstein's book makes this
story accessible by glossing over some of the technical details,
a tradeoff of readability for depth, but still provides insight
into the causes of LTCM's collapse.
When Genius Failed is a classic tale of greed and
fear on Wall Street. Lowenstein tells it well, especially in the
later chapters, which give readers a blow-by-blow account of the
bailout negotiations. What's more, he brings out the story's
particular pertinence for today's investors: Even with all the
brains and all the computers in the world, investors can't
control, let alone predict, human nature.
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Naked Guide to Bonds: What You Need to Know -- Stripped Down to the Bare Essentials
by Michael V. Brandes
Rather than writing an all-inclusive book on the bond market,
Brandes uses his expertise to eliminate the information that is not
relevant to individual investors. The result is a practical and succinct
guide that empowers you to make informed investment decisions. It begins
with basic questions such as: Who issues bonds, and why? And how are
bonds bought and sold? Then you’ll learn about the structure of these
securities and the characteristics that distinguish them. Armed with the
fundamentals, you’ll discover how inflation, interest rates, and changes
in the economy impact bond prices. Most importantly, you’ll understand
how to identify the bonds that are appropriate for you. |
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The
The Bond Bible by Marilyn Cohen
The Bond Bible offers an unambiguous look at this once-arcane world,
which has become considerably less mysterious and immeasurably more
accessible with the advent of the Internet. Cohen fully explains
everything from income streams and the Treasury yield curve to the
pluses of federal agency bonds and the negatives of high-yield issues.
In simple terms, she also addresses advanced strategies such as
leveraging, credit rating agencies, and insurance, bond funds and unit
trusts. Exactly how much of your portfolio should be devoted to bonds is
a personal choice based on individual circumstances. Once you determine
that, however, this book will help you reach an informed decision on
what to buy, where to obtain it, and how to manage what you've got. |
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The Bond Book: Everything Investors Need to Know About
Treasuries, Municipals, GNMAs, Corporates, Zeros, Bond Funds, Money
Market Funds, and More
by Annette Thau
The Bond Book does a superb job of explaining simply and
clearly what an investor needs to know about bonds. The second edition
improves on upon the first by including recent innovations in the bond
market, such as the Treasury's inflation-linked securities, and by
discussing the role of the Internet as an investment resource. Investors
who are new to the bond market will find this book to be a great guide
for how to get started. Seasoned investors will find it to be a handy
reference tool. |
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The Strategic Bond Investor: Strategies and Tools to Unlock the Power of the Bond Market
by Anthony Crescenzi
In addition to the investment dynamics of bonds, this fast-paced
book discusses the importance of today's fixed income market to the
economy in general. From the vital role of bonds in providing capital to
growing businesses to the ways in which increased securitization and
innovation assure the continued growth of the bond market, seasoned
investment professional Anthony Crescenzi helps you understand every
market facet and provides you with a bedrock foundation for making
profitable decisions. Bonds are a vital component of any
well-diversified investment portfolio. Learn the rules of the game in
The Strategic Bond Investor, and discover short and long-term
techniques and strategies you can use to take advantage of the unlimited
potential of bond investing and make it a vital component of your
overall trading strategy. |
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The Fundamentals of Municipal Bonds, 5th Edition by The Bond Market Association
"This is simply the most comprehensive, useful look-it-up book on
municipal bonds I’ve ever read (said with all due respect to The ABC of
Municipal Bonds my dad wrote in 1937 when I was nine). Read
Fundamentals cover to cover. I’m keeping mine in my briefcase,
under my arm, at my fingertips. No accountant, financial advisor,
attorney, new bond salesman, reporter, regulator, test-writer, cautious,
suspicious first-time investor in municipal bonds, or dinner guest is
ever going to catch me again with a question about municipal bonds I
can’t answer." -- Jim Lebenthal, Chairman, Lebenthal & Co. |
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Bond Market Securities by Moorad Choudhry
Investors need to be fully conversant with the differences in the way that
bonds are structured, valued and traded. Bond Market Securities contains
a wide range of methodologies that will help the reader to gain a good
understanding of fixed income securities and some of their associated
derivatives. The book investigates the fundamentals of fixed income
analysis, reviewing the latest research and presenting it in an
accessible way that is suitable for practitioners and graduate students
alike. The research is summarized in a way that allows readers to apply
results to their individual requirements. Important subjects are covered
in a straightforward style, using only essential mathematics, while
further references are listed in full so that the reader may undertake
further research. |
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Modern Pricing of Interest-Rate Derivatives: The Libor Market Model and Beyond by Riccardo Rebonato
In recent years, interest-rate modeling has developed rapidly in
terms of both practice and theory. The academic and practitioners'
communities, however, have not always communicated as productively as
would have been desirable. As a result, their research programs have
often developed with little constructive interference. In this book,
Riccardo Rebonato draws on his academic and professional experience,
straddling both sides of the divide to bring together and build on what
theory and trading have to offer. Rebonato begins by presenting the
conceptual foundations for the application of the LIBOR market model to
the pricing of interest-rate derivatives. Next he treats in great detail
the calibration of this model to market prices, asking how possible and
advisable it is to enforce a simultaneous fitting to several market
observables. He does so with an eye not only to mathematical feasibility
but also to financial justification, while devoting special scrutiny to
the implications of market incompleteness. Much of the book concerns an
original extension of the LIBOR market model, devised to account for
implied volatility smiles. This is done by introducing a
stochastic-volatility, displaced-diffusion version of the model. The
emphasis again is on the financial justification and on the
computational feasibility of the proposed solution to the smile problem.
This book is must reading for quantitative researchers in financial
houses, sophisticated practitioners in the derivatives area, and
students of finance. |
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Pricing Convertible Bonds by Kevin B. Connolly
Convertible bonds are a hybrid of bond and equity. Like a bond, they
provide the holder with an income, although this is lower than on a
conventional bond because the holder also has the right to buy the
issuers shares at a predetermined price during the life of the bond.
These instruments now appeal to a much wider range of investors. There
are few works on the subject of pricing convertible bonds. Most books
discussing derivative products cover all details of pricing futures and
options in minute detail. Convertible bonds and warrants are usually
mentioned as an afterthought in the latter chapters. This is the first
book to address the very complex issue of pricing convertible bonds.
Fund managers, hedge players/traders, undergraduates and post-graduates
will all find this book invaluable. Easy to understand software based on
Microsoft Excel spreadsheets is also supplied. |
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Salomon Smith Barney Guide to Mortgage-Backed and Asset-Backed Securities
edited by Lakhbir Hayre
Mortgage-backed securities (MBSs) and asset-backed securities (ABSs)
are the largest sector of today’s bond market, with billions of dollars
of securities traded every day. They constitute a core holding of almost
all U.S. institutional fixed income investors. This authoritative book
assembles recent research conducted by analysts at Salomon Smith Barney
– as well as insightful analysis of this research – to provide a
comprehensive, sophisticated, and unambiguous examination of today’s MBS
and ABS markets. This invaluable guide is an ideal training tool and
resource for investment professionals, institutional investors, pension
funds, hedge funds, and all others looking for clear, concise, and
complete treatment of this multifaceted subject. |
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Handbook of Mortgage Backed Securities
edited by Frank J. Fabozzi
The classic -- and single best -- resource for understanding and
trading mortgage-backed securities gives you timely insights into
everything from fundamentals to investment characteristics of
mortgage-backed securities, as well as state-of-the-art strategies for
capitalizing on opportunities. Seven sections bring you up to speed on
mortgages and pass-through securities; stripped mortgage-backed
securities and collateralized mortgage obligations; credit-sensitive
mortgage-backed securities; prepayment modeling; valuation techniques,
relative value analysis, and portfolio strategies; commercial
mortgage-backed securities; and non-U.S. mortgage-backed securities.
This fifth edition is practically a new book: twenty-nine of the
chapters are either new or have been substantially revised, reflecting
the most recent developments in the mortgage-backed securities market,
in terms of both product development and financial technology. These
entirely new sections give you a seamless transition into the 24-hour,
global financial markets of the 21st century. |
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High Yield Bonds: Market Structure, Valuation, and Portfolio Strategies edited by Theodore M. Barnhill
Thoroughly explores every angle of this complex market, delivering
statistics, research findings, and empirical facts guaranteed to help
you understand the risks and rewards of high-yield investing. More than
just a theoretical treatise on lower-grade bonds, this hands-on
reference shows you how to uncover issues that provide exceptional
returns for acceptable risk. Examples of the discussions include: a
77-year study of corporate bond defaults that reveals patterns and
correlations -- helping you intuitively judge a bond's risks; credit
analysis methodologies to help you determine an issuer's weaknesses and
better evaluate the 12- to 24-month prospects; simulation methodologies
to identify optimally diversified portfolios. As U.S. and international
institutional investors seek higher yields, and emerging companies seek
new sources of capital to finance growth, the high-yield bond market
will continue to grow in strength and importance. |
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Duration, Convexity, and Other Bond Risk Measures by Frank J. Fabozzi
This book offers the most comprehensive coverage of bond risk measures
available. Financial expert Frank Fabozzi walks you through every aspect
of bond risk measures from the price volatility characteristics of
option-free bonds and bonds with embedded options to the proper method
for calculating duration and convexity. Whether you’re a novice trader
or experienced money manager, if you need to understand the interest
rate risk of a portfolio Duration, Convexity and other Bond Risk
Measures is the only book you’ll need. Lucid on all aspects of
bond convexity and excellent analysis of option embedded bonds with
negative convexity. |
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The Treasury Bond Basis: An In Depth Analysis for Hedgers, Speculators and Arbitrageurs
by Galen D. Burghardt, Terrence M. Belton, Terry Belton
The Treasury Bond Basis provides a comprehensive and
detailed discussion of the relationship between the Treasury Bond market
and Treasury bond futures. Vital information such as analysis of the
basis relationship between shorter term Treasure securities and Treasury
bill and note futures is all here in one source. In-depth coverage
includes: The forces that influence the basis; Practical considerations
associated with the basis; Basis-related strategies; Strategies to
enhance treasury bond yields. Belton elucidates the concepts and
mechanisms underlying the treasury bond basis with eloquence and
intellect. Terry Belton is acknowledged as the foremost authority on
futures research, and this book bears it out. If you're thinking about
basis trading, or work in the derivatives market, this book is well
worth a look. |
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