Fixed Income Trading and Risk Management

Alexander Düring

Informasi Umum

Kode

21.21.2107

Klasifikasi

658.155 4 - Income(Revenue), Break-even analysis, Cost-benefit analysis, Cost-volume-profit analysis

Jenis

Buku - Elektronik (E-Book)

Subjek

Income Analysis, Trading, Risk Management,

No. Rak

Dilihat

202 kali

Informasi Lainnya

Abstraksi

This book about fixed income has been inspired by over two decades of work in the market from offices in London, Frankfurt and Tokyo. During this time, the author had the good fortune to be close to, and sometimes involved in, an eclectic mix of events. Although working for a large investment bank and the European Central Bank has made it possible to collect this experience, the book does not represent the views of either. Any opinions about central banking should in particular not be taken as those of the Eurosystem.

This book is also inspired by a building, namely the British Museum in London, a detail of which is pictured above. This inspiration has three aspects. The first is that the architecture of the building cannot be understood by looking only at its historic base, or only at Sir Norman Foster’s modern additions. Fixed income markets can similarly not be properly understood by considering only their conventions, or only the modern mathematical apparatus that has been created to analyse them. Although this book will present complex mathematics determining the risk characteristics of various instruments, some design features of these instruments are archaic. These features remain today for no better reason than that there was never a need to change them.

This book deals with the fixed income markets and the best point to start is to define what this means. The book will follow market usage by defining fixed income instruments as contracts that specify payment obligations that are not linked to the economic situation of the obligor. It also excludes from the scope contracts that establish payments depending on the performance of physical assets, such as commodities or weather. The book will further discuss a range of fixed income derivatives, namely contracts that specify obligations that depend on the performance of fixed income instruments.