K.Garbade: Fixed-Income Analytics

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. 

Nuestra 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