Product Description

The yield curve is the defining indicator of the global debt capital markets, and an understanding of it is vital to the smooth running of the economy as a whole. All participants in the market, be they issuers of capital, investors or banking intermediaries, will have a need to estimate, interpret and understand the yield curve. Fund managers that accurately predict the shape and direction of the curve will consistently outperform those that do not.

This groundbreaking new book offers:

• An intuitive account of a very important technical subject, cutting through the mathematics to reveal key concepts
• Market approaches to enable fund managers to evaluate the current and expected shape of the yield curve
• An opportunity for market professionals to have an understanding of the latest analytical techniques.

Written by an experienced market practitioner, this book is a clear and accessible account of an important financial topic.

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Product Details

• Amazon Sales Rank: #383015 in Books
• Published on: 2004-02-10
• Original language: English
• Number of items: 1
• Binding: Hardcover
• 300 pages

From the Inside Flap
The yield curve is the defining indicator of the global debt capital markets, and an understanding of it is vital to the smooth running of the economy as a whole. All participants in the market, be they issuers of capital, investors or banking intermediaries, will have a need to estimate, interpret and understand the yield curve. Fund managers that accurately predict the shape and direction of the curve will consistently outperform those that do not.

This groundbreaking new book offers:

• An intuitive account of a very important technical subject, cutting through the mathematics to reveal key concepts
• Market approaches to enable fund managers to evaluate the current and expected shape of the yield curve
• An opportunity for market professionals to have an understanding of the latest analytical techniques.

Written by an experienced market practitioner, this book is a clear and accessible account of an important financial topic.

From the Back Cover
One of today′s fastest growing investment and risk management mechanisms such as synthetic securitisations and structured products are revolutionizing the financial industry and changing the way banks, institutional investors, and securities traders do business both domestically and globally. While potentially beneficial, these important instruments are complex structures that are often misunderstood and frequently mishandled. This groundbreaking book offers a succinct and focused resource complete with global case studies on how they work, and how best to capitalize on them.

About the Author
Moorad Choudhry is a vice–president in Structured Finance Services with JP Morgan Chase Bank in London. Prior to this he worked as a gilt–edged market maker and Treasury trader at ABN Amro Hoare Govett Sterling Bonds Limited, and as a sterling proprietary trader at Hambros Bank Limited. Moorad has lectured on the bond markets at the London School of Economics, the ISMA Centre in Reading, London Guildhall University and the International Faculty of Finance, and is a senior Fellow at the Centre for Mathematical Trading and Finance, CASS Business School, London. He is a Fellow of the Securities Institute and a Fellow of the Global Association of Risk Professionals. Moorad’s published work includes journal articles and books. He is also co–author of the book The Global Money Markets, written with Professor Frank Fabozzi. Moorad obtained an MA in Economics from the University of Reading and an MBA from Henley Management College. He is in the process of completing his PhD from Birkbeck, University of London. He is Editor of the Journal of Bond Trading and Management. 

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Customer Reviews

1 in 4 chance of a typo on any given page
i'm on p176(of 354) currently and have, as a novice, spotted 47 typos, many in formulae, which decreases my confidence in the remaining work. the editor did a very poor job here - whole sections, eg p61-62 are word-for-word pastes of sections which came before, it seems the author's "e" key may have been a little unresponsive given the number of words with a missing "e".

I found a lot of the section headings to be uninformative and generally the order or presentation is unsystematic - another reviewer spotted this. I could speculate that this was due to the cut&paste nature of some parts of the text.

I'm not convinced (again, this is a novice opinion) the author is strong enough in the quant side of things to sound too convincing when he dips into theory, though he does point out that this isn't meant to be a maths book. That's fine. Mathematically sophisticated authors can write maths-lite finance books aimed at non-mathematically inclined audiences yet can manage to present the material in a way which gives more confidence. (E.g. Simon Benninga's "Financial Modelling")

On the plus side, it is good to see a full book on the yield curve taking in some trader-related perspective, a little economic perspective, and some theory.

Plus, the author clearly makes an attempt to explain many aspects of the yield curve and largely succeeds.

I'm enjoying the read and plan to continue until the end.

just above average
not bad and quite informative. The topics are well described and easily accessible to everyone. A good introduction into the topic. However, the books is quite repetitive and does contain many half finished sentences. It looks like is book has been written in great haste and hasn't been properly edited. I guess a few chapters were taken from other books or articles by the same author, so there is quite some overlap between some of the chapters. A shame, a few more weeks spend editing would have produced a much better book. That's why only 3 out of 5 !

Comprehensively researched, and extremely well written coupled with a superbly explained analysis of Yield Curve
This book is incredibly fantastic, it is awesome. Ive studied the vasicek
Model and the hull & white model and their proofs,
this book had all these plus a thorough derivation, the work of a
genius. I am going to have to buy this book for my MSc Financial Engineering
course and will recommend it to everyone in my class. It
basically has all the solutions, derivation and interpretations.
It is great if you are looking for the correction made from the vasicek model by hull-
white which avoids rates to be rt > o to stay positive with 100%
probability. This book is a one-stop shop for interest rate models. The portfolio
constructions are neatly done for deriving the Stochastic differential
equations, furthermore the notations seem very clear and not too abstract as
they normally appear for other books in this type of mathematical
sophistication. A great work.