Customer Reviews

Analysing and Interpreting the Yield Curve (Wiley Finance)

5 star:		(6)
4 star:		(1)
3 star:		(1)
2 star:		(0)
1 star:		(2)

 

 

Sorry to give this book a one star. But it is advertised by the publisher and the author as a tool for practitioners, not as a book to cram before the finals and then toss away for good.

The book reads like a collection of old academic papers without any connection to practical applications.

After using relatively advanced math, and going into unnecessary details of the old and useless academic theories, the applications is covered at a level of a introductory MBA class. You want a hedged steepener? Go ahead, "just match DV01, says the author. What about the fact the yield curves normally don't shift in parallel? That's where all those fancy models could come in to help construct a better hedge. The author's advice? He doesn't even mention the issue. What's the point of spending most of the book describing yield curve models that are never connected to even the most basic real problems?

A lot of comments are cryptic and poorly worded. You could match durations instead of DV01, says the book, but it doesn't work any better in practice. Huh?.. what's the difference? (There may be one, depending on the definition, but the author doesn't bother to explain.)

What about partial duration, principal components or any other standard yield curve modeling tools? Keep hoping. This is apparently not academic enough to mention.

Very, very disappointed.

Yield Curve modeling is on of the major subjects of fixed income, a subject of great power and benefits. As the author explains eloquently (page 56) that the yield curve is very easy to grasp the basics, but difficult to become expert at. It is linked by countless equation with vast underlying framework.

Despite its forbidding nature yield curve modeling is vital component of the fixed income market. It has wide range of applications and practical importance. However, the lack understanding so often encountered leaves students and market investors with a gap between able to use the theory and being able to do so. One way of promoting understanding and bridging this gap is the method this book follows. The way of this book is to make the reader understand the subject by providing detailed explanation with carefully selected examples, show how principles and concepts may be applied to particular problem. And then offering the reader examples that differ slightly but which can be tackled by an extension of the approach that have been used previously. All this is evident in chapter one. In chapter two the author selects well motivated examples to demonstrate specific principle and concepts.

The book starts with an overview of the concept of bond yields and bond yield measurement. It then discusses the basic terminology of the yield curve. The core topics of classical yield curve are then examined in chapter two. It includes brief introduction to each topic where important results are stated and sometimes derived or reference given, followed by a number of practical example worked out in detail. Part two of the book deals with the very practical topic of yield curve modeling.

One of the powerful features of this book is that it provides relationship between theory and market practice. To sum up, the author explains all the components of the yield curve modeling at the atomic level.

Mo

This book brings together all related points and saves the practitioner from having to buy 2 or 3 books. It covers bond yield, yield curve estimation and modelling, and then brings it all together in a chapter on relative value trading and yield curve spread trading. An excellent, well-written book that I think all government bond and Eurobond traders and portfolio managers will want to check out.

I work with Interest Rate Derivatives and I found this book an easy read.
This book will be particularly helpful to folks who are more interested in application part of it. I would say this is the kind of book I'll want my traders to read, if they want to understand the logic behind the models I make. This book will not teach them Stochastic Calculus or PDEs, but this will definitely give them everything they need to understand the logic - without exactly covering all the mathematical nitty-gritties. And if they want to know more, the book abounds in some very useful references. Has a few typos. But almost all of them are pretty obvious ones - so not much pain there.

All in all, I would say that at its price this book should certainly be in everyone's library.

If you ever tried to research yield curves, then you will most likely find yourself reading a paragraph or a chapter in at least two books and / or articles. The author's capacity to summarize different bits of information to allow the reader to digest more efficiently this specfic topic is impressive. The book is primarily for an intremediate or expert fixed income person, but he does a good job in the beginning chapters to teach entry level fixed income people. The fixed income universe is divergent in products from bonds, derivative contracts and structured vehicles and it is people like Moorad Choudhry and his talent to amalgamate subject matter that any financial market person should read. All readers will ascertain a top down view of yield curves and if they need to go down to a granular level (i.e. find another book or article), then Choudhry has prepared the reader not to be lost between two trees in a forest.

This book was mainly focused on bond curves, I thought it might go in to a bit more depth using other fixed income instruments though. He did not go in to any depth in the models he chose to cover, and some of those that he did choose to cover were a bit irrelevant, (does anyone use the Merton model?)

The book is probably a bit too pricy for what you get. It's riddled with somewhat annoying typos, most are obvious, but one which I found in the description of the Vasicek Model description left me scratching my head until I realized it was a typo.

All in all, not a bad book if you have money burning a hole in your pocket and want a general overview of yield curves.

One of the rare books which present yield curve modeling in an intuitive and comprehensible way. Mathematical formalism is kept to a minumum and whenever possible there are references to practical implications and implementations.

It is so rare to find an author whose work is aimed at the rank and file of the finance world. Choudhry has excelled himself once again and clearly knows his work. His writing style is quite the most concise yet detailed and also quite convivial. i am quite sure he is an extremely successful person both personally and professionally.

There have been so many books about the yield curve, and all of them so mediocre. It is good to finally have one that describes and analyses the curve for everyone - money managers, bankers, investment analysts. Written in the author's trademark accessible style, this book is like nothing out there, highly recommended.

There have been so many good books written about the yield curve that it is hard to imagine why this one was written. It is actually very similar, if not remarkably the same, to a couple of other books previously published. If you have the better written books on this subject, there is no need to buy this. If you don't have them, buy them instead.