Customer Reviews

Fixed Income Mathematics, 4E: Analytical & Statistical Techniques

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I work in Equity research and recently had to move over to Fixed income. Two things happened at this stage - (a) Work-pressure dictated that I learn FI (b) I started taking a course from NYSU.
Thus, this review is applicable to both sets of people - those who're learning and those who are working.
The language - is very free-flowing and easily can be grasped.
The alma-mater - very, very professionally presented. Without spending too much time covering the absolute basics, i.e. taking the subject from ground-zero, he covers each topic from a perspective of an intelligent reader. Quickly covers the basics, the derivation explanation and then the core equation. The equation is very heavily exploded through various examples and situations. TERRIFIC stuff... really what "hits" you in work.

Critical areas which he has carefully covered this particular edition has the VERY BEST COVERAGE on the latest developments related to: (missing in prev. edition)
* Interest rates and their modelling.
* Credit risk concepts (CDS, etc. also explained)\
* Pre-payment modelling - perhaps the only book covering this ever-important subject, esp. relevant nowadays.
* Corporate bonds and their measures of risk
* MBS Structuring - don't know any book covering this!

The best - tracking errors and multi-factor risk-models... the models and techniques explored here, though rudimentary gives you that 1 single-aspect on every analyst's mind .. i.e. fear of errors. Where it might happen, how to mitigate it, pre-empt it.

If you are looking for a manual on the fixed income products and how they work this is the book to start with. Frank Fabozzi is the writer of most of the study books for the Chartered Financial Analyst (CFA) exams and is considered to be one of the best educators in the fixed income space. Yes this is dry textbook material, yes I would rather read mystery novels or simple self help books; but every once and a while I need to brush up on my skills and I pick of a really serious book. Fixed Income Mathematics is the book I hand to all of my new hires and consultants so that they can quickly get the understanding needed to be effective in developing software to support the traders of these products. No this book will not turn you into a master trader of fixed income products, that is not the purpose. Fixed Income Mathematics will give you a foundation, if you work for an investment company they should have additional research and training materials that you can build upon once you have mastered the fundamentals taught here.

I highly recommend this book for anybody looking for fixed income math.
There are plenty of examples on every topic.

I use this book in addition with Fixed Income reference book.

That is the best book ever about fixed income. This is a MUST read book...