GARP Digital Library


Book/Article Detail

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FRM Paid Candidate Price:         US$3.00
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GARP Member (Non-Affiliate):   US$3.00
Affiliate & Non-Member:             US$3.50
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Quantitative Level:
Topics Covered:
Embedded options, option-adjusted spread analysis, option valuation, call provision, binomial tree of short-term interest rates, arbitrage-free pricing, option pricing, risk-neutral pricing, recombining and nonrecombining trees, callable bond pricing, price-yield relationships, price volatility, effective duration and convexity, sinking funds
Reading Contents:
11.1.1 Understanding Option Elements Embedded in a Bond
11.1.2 Basic Options Features
11.1.3 Option Valuation
11.1.4 The Call Provision
11.1.5 The Binomial Tree of Short-Term Interest Rates
11.1.6 Arbitrage-Free Pricing
11.1.7 Options Pricing
11.1.8 Risk-Neutral Pricing
11.1.9 Recombining and Nonrecombining Trees
11.1.10 Pricing Callable Bonds
11.1.11 Price and Yield Sensitivity
11.1.12 Measuring Bond Yield Spreads
11.1.13 Price Volatility of Bonds with Embedded Options
11.1.14 Effective Duration
11.1.15 Effective Convexity
11.1.16 Sinking Funds
Book Review:
** From the Publisher **

An array of techniques and applications are used in the analysis and valuation of the principal debt market instruments. The basic analytical techniques are applicable in all bond markets, but as the instruments being valued become more complex, additional techniques are required. In order to succeed, today’s financial practitioners need to be up to speed on how these derivative products and their underlying securities are structured and valued.

In Fixed-Income Securities and Derivatives Handbook, Moorad Choudhry provides a concise and accessible overview of the main elements of the markets, the techniques used, and their applications. Covering a wide range of market instruments, the book examines simple and complex products and the mathematics behind them.

Analyzing cash and derivative products, Choudhry provides insight into market conventions with case studies demonstrating how the markets really work. The book features an introduction to yield-curve models, curve-fitting techniques, option-adjusted spreads, index-linked bond analytics, and a range of other applications in the fixed-income markets. Choudhry’s unique focus on the international nature of these instruments makes the techniques and applications appropriate to every debt capital market.

Whether new to the field or simply in need of a refresher on recent developments, the practitioner will find Fixed-Income Securities and Derivatives Handbook a resource to have close by.

GARP Digital Library