Customer Reviews

Fixed Income Securities and Derivatives Handbook: Analysis and Valuation

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By saying newbie, I mean at least you should know some basic terminology like duration, convexity, interest rake risk, etc. It's really for those who have some basic knowledge on fixed income securiteis and want to explore more in depth. I personally read some chapters from Fabozzi's handbook, and feel like it's not very technical oriented and I prefer this one.

Haven't finished reading yet, but so far, very comprehensive, concise and lucid.

Starting from scratch, assuming just a basic knowledge of calculus and the summation of series, Choudhry explains important ideas about how securities and derivatives are priced. Crucial concepts like how to model interest rates, and the various models that do exist for this purpose, are also gone into. This is built upon with the use of interest rate swaps, of varying complexity.

For options, there is the seminal Black-Scholes model. It is shown to be easy to understand, resting on the assumption of a Weiner process for the asset pricing. More elaborate option modelling is possible, and several of these are discussed.

Explanations are a bit rushed. I wish the author took more time to explain the logic behind some of the equations.