The authoritative resource for understanding and practicing valuation of both common fixed income investment vehicles and complex derivative instruments-now updated to cover valuing interest rate caps and floors.
Valuation of Fixed Income Securities and Derivatives
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Book Description
Editorial Reviews
From the Back Cover
The authoritative resource for understanding and practicing valuation of both common fixed income investment vehicles and complex derivative instruments-now updated to cover valuing interest rate caps and floors.
About the Author
Frank J. Fabozzi is a financial consultant, the editor of the Journal of Portfolio Management, and an Adjunct Professor of Finance at Yale University's School of Management.
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More About the Author
Frank J. Fabozzi is Professor in the Practice of Finance and Becton Fellow at the Yale School of Management and Editor of the Journal of Portfolio Management. He is a Chartered Financial Analyst and earned a doctorate in economics from the City University of New York.
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Most Helpful Customer Reviews
4.0 out of 5 stars
Solid Introduction,
By Michael Staggs "mikeynyc" (New York) - See all my reviews
This review is from: Valuation of Fixed Income Securities and Derivatives, 3rd Edition (Hardcover)
This book is a good introduction to valuation and should be used in conjunction with other books in fixed income. The book references more complex topics that may be explored further in more advanced books. However, the book does a good job of stripping topics to the basic concepts.
0 of 5 people found the following review helpful:
5.0 out of 5 stars
Highly recommended,
By A Customer
This review is from: Valuation of Fixed Income Securities and Derivatives, 3rd Edition (Hardcover)
Fabozzi covers intensely complicated topics and explains areas that even a non finance person like me can grasp with relative ease. If you need to gain knowledge in this area, I urge you to buy this book!
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Inside This Book
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First Sentence:
The objectives of this chapter are to: 1. explain what is meant by the cash flows of a financial asset; 2. discuss the process involved in valuing a fixed income security; 3. explain the situations in which determination of the cash flows of a fixed income security is complex; 4. review the provisions that allow the cash flows to be altered by either the issuer or the investor; 5. explain why a fixed income security should be viewed as a package of zero-coupon securities; 6. review risk measures associated with investing in fixed income securities; and, 7. explain the role of valuation in deriving risk measures. Read the first page Key Phrases - Statistically Improbable Phrases (SIPs): (learn more)
binomial interest rate tree, theoretical spot rate curve, market conversion premium, theoretical spot rates, market conversion price, expected interest rate volatility, theoretical futures price, sinking fund option, actual percentage price change, capped floater, accelerated sinking fund provision, approximate percentage price change, par coupon curve, straight value, interest rate paths, inverse floater, callable note, implied repo rate, conditional prepayment rate, interim coupon payment, putable bond, maximum coupon rate, call price schedule, tranche collateral, pure expectations theory Key Phrases - Capitalized Phrases (CAPs): (learn more)
Monte Carlo, Today Year, Merrill Lynch, Journal of Finance, Journal of Financial Economics, United States, Economics Group, Fabozzi Associates, Financial Analysts Journal, Fixed Income Analytics, Global Securities Research, Wall Street, Eastman Kodak, Jonathan Ingersoll, Journal of Portfolio Management, New Hope, Smith Incorporated, The Handbook of Fixed Income Securities, Whirlpool Corporation New!
Books on Related Topics | Concordance | Text Stats Browse Sample Pages:
Front Cover | Table of Contents | First Pages | Index | Back Cover | Surprise Me!
The objectives of this chapter are to: 1. explain what is meant by the cash flows of a financial asset; 2. discuss the process involved in valuing a fixed income security; 3. explain the situations in which determination of the cash flows of a fixed income security is complex; 4. review the provisions that allow the cash flows to be altered by either the issuer or the investor; 5. explain why a fixed income security should be viewed as a package of zero-coupon securities; 6. review risk measures associated with investing in fixed income securities; and, 7. explain the role of valuation in deriving risk measures. Read the first page Key Phrases - Statistically Improbable Phrases (SIPs): (learn more)
binomial interest rate tree, theoretical spot rate curve, market conversion premium, theoretical spot rates, market conversion price, expected interest rate volatility, theoretical futures price, sinking fund option, actual percentage price change, capped floater, accelerated sinking fund provision, approximate percentage price change, par coupon curve, straight value, interest rate paths, inverse floater, callable note, implied repo rate, conditional prepayment rate, interim coupon payment, putable bond, maximum coupon rate, call price schedule, tranche collateral, pure expectations theory Key Phrases - Capitalized Phrases (CAPs): (learn more)
Monte Carlo, Today Year, Merrill Lynch, Journal of Finance, Journal of Financial Economics, United States, Economics Group, Fabozzi Associates, Financial Analysts Journal, Fixed Income Analytics, Global Securities Research, Wall Street, Eastman Kodak, Jonathan Ingersoll, Journal of Portfolio Management, New Hope, Smith Incorporated, The Handbook of Fixed Income Securities, Whirlpool Corporation New!
Books on Related Topics | Concordance | Text Stats Browse Sample Pages:
Front Cover | Table of Contents | First Pages | Index | Back Cover | Surprise Me!
Citations (learn more)
This book cites 7
books:
See all 7 books this book cites
23
books
cite this book:
See all 23 books citing this book
- Fixed Income Securities by Frank J. Fabozzi CFA on 4 pages
- The Handbook of Fixed Income Securities by Frank J. Fabozzi on page 161, page 191, and page 244
- Fixed Income Portfolio Management by H. Gifford Fong on page 72
- Asset-Backed Securities (Frank J. Fabozzi Series) by Anand K. Bhattacharya on page 160
- Interest Rate Swaps by Carl R. Beidleman on page 251
See all 7 books this book cites
- Corporate Bonds: Structure and Analysis by Richard C. Wilson on page 262, and Back Matter
- Credit Union Investment Management (Frank J. Fabozzi Series) by Frank J. Fabozzi CFA on page 143, and Back Matter
- Collateralized Mortgage Obligations: Structures and Analysis, 3rd Edition by Frank J. Fabozzi CFA on page 231
- Handbook of Inflation Indexed Bonds (Frank J. Fabozzi Series) by John Brynjolfsson in Back Matter
- Managing MBS Portfolios by Frank J. Fabozzi CFA on page 177
See all 23 books citing this book
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