Overview
Main description
A complete guide for
professionals with advanced
mathematical skills but little or
no financial knowledge . . .
You’re smart. Logical. Mathematically
adept. One of those people who can
make quick work of long, difficult equations.
But when it comes to managing a financial
portfolio and managing risk, you wonder if
you’re missing out.
Fixed Income Finance is the book for you.
It’s the perfect introduction to the concepts,
formulas, applications, and methodology,
all derived from first principles, that you
need to succeed in the world of quantitative
finance—with a special emphasis on fixed
incomes. Written by two of the sharpest analytical
minds in their fields, this instructive
guide takes you through the basics of fixed
income finance, including many new and
original results, to help you understand:
- Treasury Bonds and the Yield Curve
- The Macroeconomics behind Term
Structure Models
- Structural Models for Corporate
Bonds and Portfolio Diversification
- Options
- Fixed Income Derivatives
- Numerical Techniques
Filled with step-by-step equations, clear
and concise concepts, and ready-to-use
formulas, this essential workbook bridges the
gap between basic beginners’ primers and
more advanced surveys to provide hands-on tools you can begin to use immediately. It’s all
you need to put your math skills to work—
and make the money work for you.
Brilliantly researched, impeccably detailed,
and thoroughly comprehensive, Fixed Income
Finance is applied mathematics at its best and
most useful.
Table of contents
Section 1: Bond Basics: Treasury bonds and the Yield Curve/Corporate Bonds and Credit Risk/ Derivatives/ Mortgages/ Municipal Bonds/Real Return Bonds
Section 2: Probability Theory and Stochastic Processes:Normal Random Variables/The Central Limit Theory/ The Probability Distribution for Corporate Bonds Returns/ Correlated Random Variables/ Random Walks/Survival Probabilities/ Correlated Random Walks/Simulation
Section 3: Term Structure Models: One Factor Models and Two Factor Models/Bond Prices, Volatilities/Eurodollar Futures/Futures and Forward Contracts/ Macroeconomics and Two Factor Models
Section 4: Options: Call and Put Options on a Stock/The Merton Model/Options on Interest Rate Sensitive SecuritiesSection 5: Portfolio Allocation: Utility Functions/The Sharpe Ratio/Beyond Mean and Variance/ Value at Risk/ Examples
Author comments
Mark Wise is the John A. McCone
Professor of High Energy Physics at the
California Institute of Technology. He is the
winner of the 2001 J.J. Sakurai Prize of the
American Physical Society and a member of
the American Academy of Arts and Sciences
and National Academy of Sciences. He is also
the coauthor of Heavy Quark Physics.
Vineer Bhansali is an executive vice
president, portfolio manager, firm-wide head
of analytics for portfolio management, and a
senior member of PIMCO’s portfolio management
team. He is the author of Pricing
and Managing Exotic and Hybrid Options and
currently serves as an associate editor for
the International Journal of Theoretical and
Applied Finance.
Back cover copy
If you have a talent for math, you've got a head start on building wealth . . .
A hands-on user’s guide to the world of quantitative finance, this much-needed
book shows you how to apply your advanced mathematical skills to a vast array
of financial opportunities available to those investing in fixed income. Written by two
analytical experts, Fixed Income Finance shows you how to:
- Obtain a deep understanding of the risks and rewards of bonds
- Use tools of modern fixed income finance to creatively solve new problems
- Value bonds and their derivatives using rigorous foundations
- Properly manage the risk-reward tradeoffs in bond portfolios
- Build a toolkit that you can apply to other practical problems
Filled with step-by-step derivations, many of them original and detailed calculations,
and other applied mathematics not easily found in existing literature, Fixed Income
Finance helps you manage the ups and downs, ins and outs, of quantitative finance—
quickly, easily, and profitably.
