- Hardcover: 480 pages
- Publisher: MIT Press (10 Jan 1997)
- Language English
- ISBN-10: 0262071762
- ISBN-13: 978-0262071765
- Product Dimensions: 26.2 x 18.8 x 3.5 cm
- Amazon Bestsellers Rank: 1,083,907 in Books (See Top 100 in Books)
- See Complete Table of Contents
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Product Description
Review
"I am convinced that the ideal text for an introduction to fixed-income analytics has been written... in a series of Bankers Trust working papers principally authored by Kenneth Garbade... [that] provide mathematically rigorous and self-contained gems on everything from the ideal way to define true yield to how best to compute the yield on a portfolio of bonds." Arthur D. Warga, Journal of Finance "Fixed Income Analytics is an outstanding combination of theprecision of academics with the institutional detail of the real world.It is required reading for any serious MBA student." William L. Silber, Professor of Finance and Economics,New York University
Product Description
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.
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4 reviews
13 of 13 people found the following review helpful
A classic, despite being somewhat dated
18 Nov 2000
Format:Hardcover
This is a superb collection of papers which were years ahead of their time in the 1980s and are still highly relevant. The discussion of yield curve dynamics is very insightful and based on firm theoretical and empirical foundations - more than can be said for nearly every fixed income text out there. In fact, I would recommend that anyone who wants to understand the yield curve should read this book and go through the exercise of updating its findings using 1990s data. Note that this book is not for beginners, and readers should be warned that some of the terminology has changed since the papers were written.
5 of 6 people found the following review helpful
Excellent for both academic and practitioners
18 Nov 2000
Format:Hardcover
Garbade's book is an excellent reference for those who need insight in the measurement and management of interest rate risk. The author's description of duration moments and its use in portfolio immunization are superb. Garbade is, together with S. Nawalkha, Donald Chambers and Robert Reitano, one of my favourite author's in the fixed income area.
4 of 6 people found the following review helpful
Wonderful but outdated
31 Dec 2002
Format:Hardcover
I'll be joining a fixed income trading desk in a few months and picked up this book to gain some additional insights. If you have some exposure to the fixed income markets, this book will do a wonderful job of supplementing that knowledge. The chapters on pricing the roll, determining richness/cheapness to the curve, and financing (i.e., repo) are invaluable. As another reader mentioned, the writing is a bit outdated, but it still provides a lot of good information. I think it also focuses too much on Macaulay duration at the outset, leaving aside the more often-used DV01 (Garbade refers to it as "value of a basis point") until much later. Still, there are few good books on the subject of fixed income markets, and this is definitely one of them.
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