Fixed Income Analytics
Fixed Income Analytics brings together twenty influential papers written by Kenneth Garbade with members of the Cross Markets Research Group of Bankers Trust Company between 1983 and 1990. Written by and for practitioners in the U.S. Treasury securities markets, it is one of the few, if not only, books on fixed income analysis that focuses on applicable techniques while remaining analytically rigorous.Divided into four parts, Fixed Income Analytics presents quantitative methodologies for the analysis of fixed income securities, such as U.S. Treasury bills, notes, bonds, and STRIPS that have no credit risk. Examined in part I are basic concepts of bond yield and bond duration; in part II, yield curves and the problem of assessing relative value; in part III, topics in fixed income portfolio management associated with change in the shape of the yield curve -- yield curve trades, butterfly trades, and hedging -- and in part IV, the characteristics and consequences of fluctuations in the shape of the yield curve.
About the Author
Kenneth D. Garbade is Senior Vice President, Money and Payments Studies Function, Research and Statistics Group, at the Federal Reserve Bank of New York. He is the author of Fixed Income Analytics (1996), Pricing Corporate Securities as Contingent Claims (2001), both published by the MIT Press, and other books.
—Mark Broadie, Graduate School of Business, Columbia University
—Antii Ilmanen, Vice President, Salomon Brothers Inc.
—Arthur Warga, Lubar Professor of Finance, University of Wisconsin
—Stephen Figlewski, Professor of Finance, Leonard N. Stern School of Business, New York University
—William L. Silber, Professor of Finance and Economics,New York University