A comprehensive, in-depth look at global debt capital markets in the post-crisis world Fully updated with comprehensive coverage of the post-crisis debt markets and their impact on key industry issues, Fixed Income Markets: Management, Trading, and Hedging, Second Edition offers insights into derivative pricing, cross-currency hedging, and new liquidity legislation. Written by Choudhry, Moskovic, and Wong, Fixed Income Markets is an indispensable read for anyone working in bond markets, interest-rate markets, and credit derivatives markets looking to better understand today's debt markets. This acclaimed book takes a unique look into the leading practices in bond markets as well as post-credit-crunch impacts on pricing that are rarely captured in textbooks. The new edition provides expanded coverage on a wide range of topics within hedging, derivatives, bonds, rebalancing, and global debt capital markets. New topics include: Dynamic hedging practices and cross-currency hedging Collateralized and uncollateralized derivatives, and their impact on valuation Callable bonds, pricing, trading, and regulatory aspects related to liquidity Rebalancing as a method for capturing contingencies and other complex imbedded risks As a bonus, the book includes reference information for statistical concepts and fixed income pricing, as well as a full glossary and index. Written in Choudhry's usual accessible style, Fixed Income Markets is a comprehensive and in-depth account of the global debt capital markets in today's post-crisis world.

A comprehensive, in-depth look at global debt capital markets inthe post-crisis worldFully updated with comprehensive coverage of the post-crisisdebt markets and their impact on key industry issues, FixedIncome Markets: Management, Trading, and Hedging, SecondEdition offers insights into derivative pricing, cross-currencyhedging, and new liquidity legislation. Written by ChoudhryMoskovic, and Wong, Fixed Income Markets is an indispensableread for anyone working in bond markets, interest-rate markets, andcredit derivatives markets looking to better understand today'sdebt markets.This acclaimed book takes a unique look into the leadingpractices in bond markets as well as post-credit-crunch impacts onpricing that are rarely captured in textbooks. The new editionprovides expanded coverage on a wide range of topics withinhedging, derivatives, bonds, rebalancing, and global debt capitalmarkets. New topics include:* Dynamic hedging practices and cross-currency hedging* Collateralized and uncollateralized derivatives, and theirimpact on valuation* Callable bonds, pricing, trading, and regulatory aspectsrelated to liquidity* Rebalancing as a method for capturing contingencies and othercomplex imbedded risksAs a bonus, the book includes reference information forstatistical concepts and fixed income pricing, as well as a fullglossary and index. Written in Choudhry's usual accessible styleFixed Income Markets is a comprehensive and in-depth accountof the global debt capital markets in today's post-crisisworld.

Foreword xiiiPreface xviiAbout the Authors xixPart One Introduction to Bonds 1Chapter 1 The Bond Instrument 3Chapter 2 Bond Instruments and Interest-Rate Risk 43Appendix 2.1 Formal Derivation of Modified-Duration Measure 59Appendix 2.2 Measuring Convexity 59Appendix 2.3 Taylor Expansion of the Price/Yield Function 61Chapter 3 Bond Pricing, Spot, and Forward Rates 65Appendix 3.1 The Integral 83Appendix 3.2 The Derivation of the Bond Price Equation in Continuous Time 85Chapter 4 Interest-Rate Modelling 89Appendix 4.1 Geometric Brownian Motion 101Chapter 5 Fitting the Yield Curve 105Appendix 5.1 Linear Regression: Ordinary Least Squares 124Appendix 5.2 Regression Splines 127Part Two Selected Market Instruments 133Chapter 6 The Money Markets 135Appendix 6.1 179Chapter 7 Hybrid Securities and Structured Securities 181Chapter 8 Bonds with Embedded Options and Option-Adjusted Spread Analysis 205Appendix 8.1 Calculating Interest Rate Paths Using Microsoft Excel 232Chapter 9 Inflation-Indexed Bonds and Derivatives 235Appendix 9.1 Current Issuers of Public-Sector Indexed Securities 256Appendix 9.2 U.S. Treasury Inflation-Indexed Securities (TIPS) 257Chapter 10 Introduction to Securitisation and Asset-Backed Securities 261Part Three Derivative Instruments 297Chapter 11 Forwards and Futures Valuation 299Chapter 12 Bond Futures Contracts 309Appendix 12.1 The Conversion Factor for the Long Gilt Future 324Chapter 13 Swaps 329Appendix 13.1 Calculating Futures Strip Rates and Implied Swap Rates 370Chapter 14 Credit Derivatives I: Instruments and Applications 375Appendix 14.1 Bond Credit Ratings 418Chapter 15 Credit Derivatives II: Pricing, Valuation, and the Basis 421Chapter 16 Options I 435Appendix 16.1 Summary of Basic Statistical Concepts 456Appendix 16.2 Lognormal Distribution of Returns 457Appendix 16.3 Black-Scholes Model in Microsoft Excel 458Chapter 17 Options II 461Part Four Bond Trading and Hedging 475Chapter 18 Value-at-Risk and Credit VaR 477Appendix 18.1 Assumption of Normality 513Chapter 19 Government Bond Analysis, the Yield Curve, and Relative-Value Trading 517Chapter 20 Approaches to Trading and Hedging 551Appendix 20.1 Summary of Derivation of Optimum Hedge Equation 571Appendix 20.2 Forward-Rate Structure in Conventional Yield-Curve Environment 571Chapter 21 Derivatives Risk Management: Convexity, Collateral, and Correlation 573Appendix A Statistical Concepts 621Appendix B Basic Tools 627Appendix C Introduction to the Mathematics of Fixed-Income Pricing 633Appendix D About the Companion Website 639Glossary 641Index 669