Este libro es un compendio de 20 papers muy influyentes escritos por el autor y otros miembros del "Cross Markets Research Group" del Banker's Trust entre 1983 y 1990. Escrito por trader's especializados en el mercado de bonos del tesoro de EEUU, es uno de los pocos, sino el único libro sobre activos de rendimiento fijo focalizado en técnicas aplicables, a pesar de ser analíticamente riguroso.
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calificación: ****
Dificultad
matemática: *
Capítulos:
YIELD
AND DURATION
Invoice
Prices, Cash Flows, and Yields on Treasury Bonds
Zero
Coupon Strips and Custodial Receipts
Duration:
An Introduction to the Concept and Its Uses
The Effect of Interest Payments on the Duration
of a Bond: Implications for Portfolio Management and Yield Curve Analysis
Rate of Return and Futurity of Cash Flow from a
Bond: Are Yield and Duration Good Measures?
Bond
Convexity and Its Implications for Immunization
YIELD
CURVES AND RELATIVE VALUE
The Structure of Treasury Yields: Duration,
Coupon, and Liquidity Effects
Coupon
Rolls
Treasury
Bills with Special Value
Comparing
Yields on Zeros to Yields on Treasury Bonds
BOND PORTFOLIO MANAGEMENT WHEN THE SHAPE OF THE
YIELD CURVE CHANGES
Yield
Spread Trades: Weighting, Financing, and Applications
Hedging in the Treasury Bond Market:
Implications of Imperfect Correlation and Nonuniform Volatility of Yield Changes
for the Size of an Optimal Hedge
Approximating the Yield on a Portfolio of Bonds:
Value-Weighted Averages versus Value of a Basis Point-Weighted Averages
Butterfly Trades: A Critical Assessment of
Yield, Convexity, and Risk
Managing Yield Curve Risk: A Generalized
Approach to Immunization
MODES
OF FLUCTUATION OF THE YIELD CURVE
Modes
of Fluctuation in Bond Yields: An Analysis of Principal Components
Polynomial
Representations of the Yield Curve and Its Modes of Fluctuation
Consistency
between the Shape of the Yield Curve and Its Modes of Fluctuation
Pricing
Claims Whose Payments Are Contingent on Interest Rates
Time
Variation in the Modes of Fluctuation of the Spot Treasury Yield Curve
Further
Readings
Index