Book Description

A comprehensive overview of the fixed income investment arena

Investors who’ve primarily purchased equity securities in the past have been looking for more secure investment alternatives; namely, fixed income securities. This book demystifies the sometimes daunting fixed income market, through a user-friendly, sophisticated, yet not overly mathematical format. Investing in Fixed Income Securities covers a wide range of topics, including the different types of fixed income securities, their characteristics, the strategies necessary to manage a diversified portfolio, both domestic and non-U.S. securities, bond pricing concepts, and yield curves. These and other issues will be explored, so that readers can make the most informed investment decisions possible when dealing with fixed income securities.

Gary Strumeyer (New York, NY) is the Managing Director (Bond and Money Market Group) of BNY Capital Markets, a registered broker-dealer subsidiary of The Bank of New York Company, Inc. He was the former adjunct professor (Economics and Finance) of New York University’s School of Continuing and Professional Studies. ... Read more

Book Description

The Industry’s Most Comprehensive Treatment of the Modern MBS/ABS Marketplace–From the Pioneers Who Helped Create the Market

"Lakhbir Hayre’s work ranks in the top echelon of fixed income research of the past two decades. Both new entrants and seasoned market professionals can benefit from the insights compiled in this volume."–Greg Parseghian, Senior Vice President and Chief Investment Officer, Freddie Mac

"This is an enormously comprehensive study of the MBS and ABS markets by one of the most respected people in the field. Its unmatched wealth of institutional and technical detail make it an invaluable reference to anyone interested in these markets."–Richard Stanton, Associate Professor of Finance, Haas School of Business, University of California, Berkeley

"This is an excellent and comprehensive guide that is clearly required reading for anyone interested in these important financial markets. I particularly liked the many explicit examples of prepayment modeling approaches."–Francis A. Longstaff, Professor of Finance, The Anderson School, University of California, Los Angeles

High credit quality and superior returns have contributed to the growthof MBSs and ABSs in the institutional investment community. Let the Salomon Smith Barney Guide to Mortgage-Backed and Asset-Backed Securities provide you with the expert, in-depth treatment you need to understand–and profit from–MBS and ABS investments. ... Read more

Reviews (5)

Hayre is lucid and informative! The Best Prepayment book
As other reviewers have mentioned this is a must for anyone involved with MBS ABS markets. Outstanding discussions on prepayment. Very detailed analysis of MBS ABS structures and related processes. A must for all people working with MBS.
Some modeling is hidden and not well explained...

An Essential Guide Plus Another
A fine guide book for the asset-backed and mortgage-backed securities markets from the original dominating force: Salomon Brothers (now Salomon Smith Barney). This comprehensive volume is an essential reference for asset backed securities and mortgage backed securities, albeit it is somewhat U.S. centric.

"Collateralized Debt Obligations and Structured Finance" by Janet Tavakoli completes and updates the essential structured finance collection. Tavakoli discusses synthetics which use credit derivatives techology and compares them to cash deals. She also exposes weaknesses in the ratings and in the structural elements that investors and structurers can correct, or at least negotiate value. She also talks about the risks of fraud, inadequate asset due diligence, and inadequate documentation & structural protections.

Clearly the best!
A clear and detailed book, written by the No. 1 expert in MBS from, Salomon Smith Barney, the best MBS underwriting and trading firm on Wall Street. A must for all people working with MBS.

Highly Recommended!
Lakhbir Hayre has created a comprehensive and authoritative reference guide for the asset-backed and mortgage-backed securities markets. In compiling this book, Hayre drew on the expertise of ABS and MBS specialists from Salomon Smith Barney, which was a pioneer in the development of these markets and still trades the largest volume of the securities. This huge volume includes plenty of charts, graphs and illustrations as companions to its enormously detailed and clearly explained descriptions and analysis. We [...] recommend this book as a useful reference for experts and an enlightening introduction for securitization novices.

its ok
it was a good well balanced book it was fun to reasd ... Read more

Book Description

This comprehensive book on bonds takes a practical real-world approach to the subject, and includes a detailed discussion of each type of bond including a wide range of products.Specific chapter coverage discusses not only the instruments, but their investment characteristics, the state-of-the art technology for valuing them, and portfolio strategies for using them.For portfolio managers, fixed income trades, and salespeople. ... Read more

Reviews (6)

I reviewed this book for the publisher (prior edition)
I was a major peer reviewer for the publisher of "Bond Markets, Analysis and Strategies," and have used it several times (perhaps as many as 10 semesters) for both undergrads and MBAs. I have no incentive to give this book any particular rating, but I HIGHLY RECOMMEND IT TO EITHER PRACTITIONERS AND ACADEMICS, AS IT IS AN EXCELLENT TEXT! There are very few weaknesses, and I disagree with most of those cited by the other reviewers listed here. It is clear, concise, loaded with examples, and beautifully written. It is also closely tied to real-world practice without sacrificing the mathematical modeling. Of course, it is no high-level bond pricing text, but it is not supposed to be--it is a broad introduction to bond markets. As such, it succeeds remarkably. In fact, I often refer to it to refresh my own understanding of the structure and pricing of these markets.

I highly endorse it, and will continue using it.

Lots of Jargon
I am a senior majoring in finance at the Curtis L. Carlson School of Management, at the University of Minnesota-Twin Cities. I just got done taking a bond course called: Financial Markets and Interest Rates. For the class we used this text book. Although it is a well-rounded book on bonds, it is very hard to understand if you do not have other examples describing what is going on. My professor who holds an MBA had alternative notes on Microsoft PowerPoint made for us to supplement the hard to understand text. The examples do not fully give a clear idea of what is happening, especially to the beginner learning bonds. I would rate this book 2/5 stars and would look elsewhere for an easier type of book, perhaps a tutorial. This book is used at high level universities including mine and Princeton University. Fabozzi is not fooling around when displaying info on bonds.

Excellent introduction to Bond Markets - VERY well written
If you think of this as an introductory book to the world of Bonds rather than a field manual for professionals you will find this to be a wonderful book. I find it to be engagingly written (yes, engaging!) with well-chosen examples. It is very nice to be able to read a book about Bonds and find it stimulating. It would have been easy to write a book that could act as a sleep-aid. Instead, this book provides learning objectives for each chapter and the prose is so inviting that I felt the book to be a page-turner.

The math used is not complicated and is chosen to help understanding rather than demonstrate the sophisticated math used in the actual world of bond trading. If you want that kind of material this isn't the book for you.

I don't know if there is a solutions manual available, but I couldn't find it. If there isn't, there should be. I have never had a college course that used the problems in the book for actual coursework and yet, no matter how simple the problems seem, it is nice for the student to be able to confirm that he or she has indeed found the right answer.

There are also many helpful footnotes that point to materials for further and deeper reading on the subjects introduced in this fine book.

A lot of hand waving, but does help
A little too wordy, but as a management text, I guess its a prerequisite. It covers the gamut of fixed income securities, but only approaches the problems deterministically. The first thirteen chapters are "text" chapters, with the real math starting in chapter 14. However, the math used is elementary, and will not be of much help in the real world. For the fixed income math portion look into "Bond Pricing and Portfolio Analysis" by Olivier de La Grandville.

For a first course in bonds, and if the student has no prior background, this book will indeed be useful. But, for advanced students the book mentioned above should be more insightful.

The best INTRO to the bond market
Fabozzi, you either love him or hate him. Analysis and strategies is a fantastic introduction to the bond market for would be practitioners. But, people with engineering backgrounds beware: This is not the book for you! This book is non-technical and simplistic, a real bore if you took undergraduate Analysis. ... Read more

Book Description

The definitive guide to mortgage-backed securities --now revised and updated

The classic -- and single best -- resource for understanding and trading mortgage-backed securities has been brought fully up to date with The Handbook of Mortgage-Backed Securities, Fifth Edition, giving you timely insights into everything from fundamentals to investment characteristics of mortgage-backed securities, as well as state-of-the-art strategies for capitalizing on opportunities.

The Handbook’s seven sections bring you up to speed on mortgages and pass-through securities; stripped mortgage-backed securities and collateralized mortgage obligations; credit-sensitive mortgage-backed securities; prepayment modeling; valuation techniques, relative value analysis, and portfolio strategies; commercial mortgage-backed securities; and non-U.S. mortgage-backed securities.

This edition is more than just a revised edition – it’s practically a new book: twenty-nine of the chapters are either new or have been substantially revised, reflecting the most recent developments in the mortgage-backed securities market, in terms of both product development and financial technology. These entirely new sections give you a seamless transition into the 24-hour, global financial markets of the 21st century. ... Read more

Reviews (3)

Excellent but Compiled Work
I have seven years of experience selling these products, and I use Fabozzi's book often. This is a good reference, and a good treatment of mortgage and asset backed securities. I only gave it four stars because the fact that this is a compiled work of research material interrupts the flow of ideas. On the other hand, there is some merit to getting different angles on the subject from different viewpoints.

One caveat. Mortgage derivatives used to mean calls and puts on mortgage backed securities. Today, however, entire portfolios of mortgage risk are laid off in the form of credit derivatives.

Tavakoli has the best treatment of that topic in the book: "Credit Derivatives".

A major reference
A vast collection of articles by practitioners on Wall Street, this book covers a broad number of topics on Mortgage Backed Securities. While not a scholarly approach, 'street research' typically aims to educate the fixed income portfolio manager.

Fabozzi handbooks are overrated
It's the industry standard. Everyone has one. It stands alone in its field. And if you're reading this you're probably going to buy regardless of what is written here.

But I've found this book (along with some of the other Fabozzi 'Handbooks') to be overrated. Basically, the format of 30 or so different authors each writing a chapter in the form of an article diminishes the usefulness of the book. There is no narrative, pedagogical or otherwise. The format leads to significant gaps in coverage. The quality of the chapters is uneven, as is the level of detail covered.

Don't misunderstand me -- the Handbook isn't bad, by any strecth of the imagination. It's just not as good as it could be. It has almost no fluff, and all the information in it is good. And the competition is a very slim field. For many things Fabozzi is not only your best choice, it's your only one. ... Read more

Book Description

In today’s volatile financial environment, growing numbers of investors are looking to flee the stock market in search of safer ground. While the bond market has often been a “safe haven,” confusing new bonds and bond funds make it increasingly difficult for unfamiliar investors to choose the correct fixed income investments. The Bond Book provides investors with the information and tools they need to make bonds a comforting, important, and profitable component of their portfolios.Thoroughly revised, updated, and expanded from its bestselling first edition, this all-in-one sourcebook includes:*A new section on using the Internet to research, buy, and sell bonds *A new chapter devoted to increasingly popular foreign bonds *Detailed information on the inflation-linked Treasury bonds *Explanation of the new categories of bond funds *Tips on how to evaluate and buy bond funds ... Read more

Reviews (16)

An unbiased explanation of fixed income securities
This book is more than just a primer on bonds and other fixed income securities. The author goes into great detail on each type of instrument as well as the IMPORTANT risks involved. The concept of "Interest risk" as opposed to "Credit risk" is worth the price of the book alone. The only negative is that the book was published in 1992, which missed out on the ending of the "Junk Bond" fiasco.

Almost Everything
This book is an amazing compilation of explanations of all of the major bonds in the market. It lags the market in one major area. Credit derivatives which have internal financing and trade credit risk similar to bonds are not included. The credit risk of a bond is transferred in these derivatives. These off-balance sheet products round out bond portfolios and transfer the risk of bonds into collateralized debt obligations that mutual funds buy. No bond book is complete without discussing these products.

To be fair, the credit derivatives market exploded in just the last 3 years, and synthetics (credit derivatives and total return swaps) now make up 70% of securitizations bought by bond funds. Tavakoli has written an excellent and entertaining book on these products: "Credit Derivatives" (Second Edition).

Only Book On Bonds You Will Ever Need
You should read this one even if you ultimately decide that bonds aren't for you. Investment curiosities like bonds and stock moving in opposite directions, how inflation is addressed in the bond market, how to purchase treasuries without a commission, what it may mean for the economy when long term bonds are returning a lower yield than short term securities, and the power of compound interest are just a few of the topics discussed in enough depth that you will probably enjoy a whole lot better understanding of the financial markets than ever before.

comprehensive review of bonds
This book can help you make money. How? It reviews the history of spreads between Treasuries and Municipals, between Treasuries and Junk bonds, and between Treasuries and other types of bonds/securities. By buying the appropriate security when the spread is abnormally large by a wide margin, which admittedly may only occur once every ten years or so, I believe one could make a ton of money. An example would be to buy junk bonds when the spread between junk and treasuries exceeds 1200 basis points. Another example would be to buy municipals if their yield surpasses the treasury benchmark. Patience will be required, though, since, as the author points out, it is tough to make a killing in the bond market all the time (i.e. the market is usually highly efficient).

The author also does a terrific job pointing out the different types of risk (reinvestment, inflation, currency, interest rates, credit, etc.) for all the different types of securities and duration of securities. She then tells you how to select a security appropriate for your needs given the risks. For example, if you don't want to worry about a rise in rates destroying the value of your bond, buy one that you can hold to maturity and collect at par. Better yet, buy one with a short duration.

In conclusion, any well rounded financier needs to know about bonds--even Warren Buffet--the famous "stock picker"--invests a ton in bonds. This book is a great start to earning this skill.

A must read for fixed-income
I highly recommend this book to anyone interested in bonds, or for those who wish to enter the financial services industry. I had a difficult time putting this book down; the content was amazing.

Bonds are an important asset class to own, regardles of the current interest rates or stock market performance. You will gain a lot of knowledge either for your own informational needs or professional use. ... Read more

Reviews (27)

Good, entertaining reading about finance issues in the 80's
This book, Liars Poker, Den of Thieves and Barbarians at the Gate are the books that define Wall Street in the 1980's. This book was an outstanding coverage of the age of the junk bond raiders. Junk bonds were the favorite financial tool of corporate raiders everywhere. The junk bond was also used to finance many new businesses (Donald Trump,Atlantic City and MCI are the most memorable to me). This book also covers Michael the driving force behind Drexel Burnham and the King of the junk bond.

The book is focused on the rise and fall of Drexel and the associated personalities of the firm. The author does a very good job of illustrating the power Milken had within Drexel, how his office on the West Coast went from being a backwater to accounting for the bulk of the firms revenue, and how Milken's subsequent removal left Drexel crippled past the point of healing. I felt that the book does a good job of explaining the brilliance of Milken and the high-yield bond market that he created and nurtured, and the catch-22 that led to his criminalization.

At the end of the day I find these kind of books to be financial humor more than anything because 1) these guys worked their butts off (2) made tons of money and then (3) a lot of them lost their shirts, ran into difficulties or (3) ended up in jail. Yes, they are rich by the boat load but it isn't the way I want to make a living.

Interesting book about Michael Milken
Intertesting book about the mega-acquisition wave triggered by the creation of the junk-bond market. It will give you some info about the social-working atmosphere at Drexel and those who along with Milken surfed the biggest financial wave in the 80's. It is an easy-reading novel. Don't expect a thorough analysis about the Junk-Bond Market and its creation.

Compelling Stuff that Leaves You Shaking Your Head
The book is great but it leaves you shaking your head in disbelief. One must conclude that there is no effective control by the SEC over companies on the NYSE and NADAQ.

I found this to be just a riveting book to read. It reminded me of the movie Wall Street although from what I gather Michael Milken at Drexel Burnham was not as good looking as Michael Douglas and he wore a hair piece and drove an older Oldsmobile, not a Ferrari.

Milken while reading the Wall Street Journal and similar material on the bus going to business school in Philadelphia came up with this idea of selling the junk bonds. Once he graduated and was employed he pushed that idea, similar to the way Fred Smith pushed Fed.Ex. - another college idea. It comes clear in the book, just shouting out at you, that he had lots of help. Banks helped him, brokers helped him, other companies helped him, he opened a new office for Drexel in LA and in general just took over that company - all because people knew and appreciated that he was going to make buckets of money. His whole scheme was in fact similar to a pyramid scheme with everyone getting fat fees that were supposed to be re-paid down stream by the successful company. The Predator's Ball did exist as real annual social get together where the bankers, brokers, and the borrowing companies got together for a night of partying. The victims - the shareholders - were not invited.

Like every Ponzi scheme at some point reality had to set in and it failed. That is what this book is about. Sure we can learn but apparently we are immune or unable to learn from history because the market over inflated itself and the Nasdaq went to 5000+ a decade later, and we had World Com and Enron. It is also remarkable that after taking so much money he got off with a light jail sentence and a big fine ($500. million) that Millken could pay.

Entertaining read.

4 stars.

Jack in Toronto

A must read for all interested in the markets
From his humble roots to his 15 minutes of fame to his downfall, this book spans the entire career of the Junk Bond King. Memories of the 87 market crash & the SnL scandals of the 80s came back to me while reading this book. A definite must read for those interested in banking, financial history, american history & especially for business students. I found this book very helpful as background info for many of my undergraduate economics courses.

Sketchy reviewers
How can I trust these reviews if two of the featured reviewers here use almost the exact same sentences in their supposedly "independent" reviews?

Fredlybrand from Chapel Hill, NC and Dan Ross from Allen, Tx are apparently the same person.

What gives? ... Read more

Book Description

Interest rate swaps--used globally by both corporate finance departments and investment firms to control interest payments, manage debt, and enhance investment portfolios--constitute a growing 1.9 trillion market. Now, financial personnel, swap traders, corporate treasurers, and professional cash managers can turn to this clear, authoritative guide to master all the methodologies used in the international swap market. Written for anyone whose work is touched by swap market activity, the guide uses diagramming techniques to first explain what swaps are, and how and why they are traded. It then addresses more sophisticated financial transactions, such as rate setting, analysis of swap desks, market-to-market, speculating, and financial statements. Readers will find detailed coverage of more than two dozen derivative products, including spreadlocks, swaptions, caps, and flows, and learn how swap trading works in foreign currencies and interest rates. Critical light is also shed on questions regulators are currently raising about the security and future of the swaps markets. ... Read more

Reviews (2)

Me thinks some reviewers protest too much
This book has been damned for being too simplistic, therefore consign it to the trash cart, or so we are expected to do. But given the relative novelty of these financial products simplicity in the best sense of word could be seen as a virtue in any work dealing with this topic. So, why the evident annoyance from some. Could it be that this work dissolves some of the mystery involved, and threatens some closed shop in these markets ?

Outdated and Shallow
The book easily shows its age in its focus on standards and issues which have long ago fallen by the wayside in this dynamic market. Far worse is that the book is preciously short on quantitative and analytic methods, and long on third-grade-teacher types of admonishments. I read the whole book becasue I paid for it, there are better, more up-to-date volumes out there. Could possibly be re-named "Swaps for English Majors", although, English majors as a group might correctly be upset at this association. ... Read more

Book Description

Praise for the Classic Guide to the Bond Market

"This is simply the most comprehensive, useful look-it-up book on municipal bonds I’ve ever read (said with all due respect to The ABC of Municipal Bonds my dad wrote in 1937 when I was nine). Read Fundamentals cover to cover. I’m keeping mine in my briefcase, under my arm, at my fingertips. No accountant, financial advisor, attorney, new bond salesman, reporter, regulator, test-writer, cautious, suspicious first-time investor in municipal bonds, or dinner guest is ever going to catch me again with a question about municipal bonds I can’t answer."–Jim Lebenthal, Chairman, Lebenthal & Co.

"Judy Wesalo Temel gives us the Rosetta stone of the municipal bond market, the key to unraveling the many mysteries of ‘muni’s.’ Her book, a fresh take on the old standard Fundamentals of Municipal Bonds, updates chapter and verse on everything from investing to underwriting, from over-the-counter to over-the-Internet.The style is clean, crisp, and as simple as this complex subject can be. Are you a novice who wonders how to invest in bonds?She lays out the basics. Examples are easy to follow–even the mathematical ones that are critical to explaining how municipal bonds work.At the same time, there is plenty of meat for the pros. Whether you need to start from square one and learn all about municipal bonds and how they work, or need a ready reference for specific technical questions you run across as a market professional, this book is for you."–Kathleen Hays, Economics Editor, Credit Markets Reporter, and "Bond Belle" CNBC

"This is a must-read for every scholar, banker, and public official concerned with local government finance in the United States. Judy Wesalo Temel has done the impossible: she has clearly and insightfully explained how we finance the development of the nation's vital public infrastructure. This is an important book, one that will be required reading for professionals responsible for planning, designing, and evaluating publicly financed projects–the health care, transportation, and educational facilities that all citizens rely upon. The bond market is an essential element in the life of local and state government, and this book makes it understandable to all Americans."–Mitchell Moss, Henry Hart Rice Professor of Urban Planning and Director, Taub Urban Research Center, Robert F. Wagner Graduate School of Public Service, New York University ... Read more

Reviews (2)

A very well written book.
After a few years in waiting, I am glad to see that the Bond Market Association has released the 5th addition of The Fundamentals of Municiple Bonds. The author of this book did a great job capturing the signifigance of the municiple bond, and exaplining it clearly with graphs and charts. I highly recomend this book and give it a 5 star rating.

WOW!
This book was amazing. Not only was it a great read (I couldn't put it down) but it was also very informative. I learned more about derivatives in this book than I could have in any classroom or any other book on bonds. ... Read more

Book Description

The Treasury Bond Basis provides a comprehensive and detailed discussion of the relationship between the Treasury Bond market and Treasury bond futures. Vital information such as analysis of the basis relationship between shorter term Treasure securities and Treasury bill and note futures is all here in one source. In-depth coverage includes: The forces that influence the basis; Practical considerations associated with the basis; Basis-related strategies; Strategies to enhance treasury bond yields. ... Read more

Reviews (6)

Yet another masterpiece for the doctor
After reading the Doctors masterpiece three times, i had enough of his theta gamma explanations. I am an avid reader who greatly enjoyed the Doctor's complicated explanations. I totally agree with Elvis. Great work again doctor

Top class reference
I've been working in Futures & Options research for 3 years now, and this has proven to be the best refernce guide available. Terrence elucidates the concepts and mechanisms underlying the treasury bond basis with eloquence and intellect. His other work, Eurodollar Futures and Options, is also a great reference for the shorter end of the curve.

THE textbook for basis trading
This is simply the only truly readable and authoritative book on its subject. Terry Belton is acknowledged as being the foremost authority on futures research, and this book bears it out. If you're thinking about basis trading, or work in the derivatives market, this book is well worth a look.

(I should also mention that Terry is my boss..doesn't stop it being a good book, though. Hope I get that raise!)

Simply Outstanding
Dr. Belton has once again outdistanced himself from other writers on this topic. His clear concise style is refreshing.Belton provides all the technical details needed and presents them in a logical and easy to follow manner.A must for any risk manager. I strongly recommend this book and Dr. Belton's previos work, Eurodollar.

Simplicity Itself
Terry Belton's contributions to this work are nothing short of tremendous. His unique ability to present advanced financial concepts in a meaningfully clear and concise framework is refreshing. Belton has successfully walked the fine line by creating a multifaceted text for both the fixed income neophyte as well as the experienced risk arbitrageur. While his detailed analytical and insightful discussions prove to be a pragmatic resource for investment professionals trying to manage their exposure to interest rate risk, his clarity allows the text to be a valued resource to students and beginners. A recommended strong buy for all people involved with fixed income markets. ... Read more

Book Description

"Overall this book provides an excellent summary of the state of knowledge of term structure modelling. It combines a solid academic background with the practical experience of someone who works in the financial sector." Alan White and John Hull, A-J Financial Systems, Canada

The modelling of exotic interest-rate options is such an important and fast-moving area, that the updating of the extremely successful first edition has been eagerly awaited. This edition re-focuses the assessment of various models presented in the first edition, in light of the new developments of modelling imperfect correlation between financial quantities. It also presents a substantial new chapter devoted to this revolutionary modelling method. In this second edition, readers will also find important new data dealing with the securities markets and the probabilistic/stochastic calculus tools. Other changes include: a new chapter on the issues arising in the pricing of several classes of exotic interest-rate instruments; and insights from the BDT and the Brennan and Schwartz approaches which can be combined into a new class of "generalised models". Further details can be found on the links between mean-reversion and calibration for important classes of models. ... Read more

Reviews (11)

Good on Several Levels
Rebonato covers the material on different levels, providing not only full mathematical formulations, but also the English version of the math along with explanations of significance of the topics covered. This book is excellent for those with the mathematical background to understand the math, and is easy to follow for those with less than rigorous mathematical background. I would recommend a good foundation in general option pricing (at least an introduction to Black-Scholes and lattice modeling) prior to reading this book. Futures, Options, and Swaps by Kolb and Options, Futures, and Other Derivatives by Hull would be good preliminary readings. Rebonato does a good job in discussing the various modeling techniques, along with the strengths and weaknesses of each.

Excellent introduction to interest rate option models
By restricting attention to interest-rate option models only, the author manages to give a thorough introduction to the subject, that goes way beyond the short chapters in standard textbooks such as Hull's or Wilmott's (I am not familiar with Miron and Swannell).

The first edition (the one that I'm familiar with) does indeed contain a number of irritating typos, many terms are first used then defined later, and the figures in particular can be greatly improved upon (I think they were produced by `Excel', which is not the best tool to produce high-quality figures for a serious technical book), however such glitches are typical of almost all books of such size and technical level.

The mathematics is not entirely trivial, but not too sophisticated either (a typical university science/engineering graduate should be able to handle it easily), and the author makes a valiant attempt to explain all relevant concepts from linear algebra to probability theory (I have to add that I didn't appreciate certain fast tricks like dropping the measure `dt' from the end of certain equations `to lighten the notation'. By doing that, one ends up with the wrong equation!)

As the author clearly indicates at the beginning, though reasonably self-contained, the book is by no means intended for a first course on option theory. However, for readers familiar with the basic facts of options and futures (at the level of Hull's book), this is a great book to read. I personally learnt an enormous lot from a first reading. I highly recommend it.

Great for intuitive understanding
The book places more emphasis on an intuitive grasp of the complex mathematics involved, though this must mean giving up rigour to an extent.

Essential Reference for Exotic Options
This book may be the best resource on exotic interest rate options. Riccardo Rebanato takes a difficult topic and gives it a thorough and clear treatment so that any professional can tackle the models for these products. Derivatives professionals will also want to know more about credit derivatives and will need an additional resource.

I highly recommend "Credit Derivatives" (2nd Edition) by Tavakoli. Tavakoli discusses this class of exotic options with clear product description illustrates both the the customer - including hedge funds - and professional applications.

Most comprehensive book wirtten on this topic
It is really a pleasure to read this book. While covering the most important topics it remains focused on the essentials. Whenever you have to deal with a concept in the literature about fixed income instruments you are not aware off Rebonato is always a good reference to start with, similar to Hull's or Wilmott's book.

Rebonato addresses consequently practical implementation issues (although not coevering the technical details of the implementation algorithms - read the original papers for that!) that are frequently missing in so many academic publications. This makes it to one of my favorit books on my book shelf. I am looking forward to his next book on intrest rate derivatives. ... Read more

Book Description

Today's financial practitioners need to be fully conversant with the differences in the way that bonds are structured, valued, and traded. Fixed-Income Securities and Derivatives Handbook is a comprehensive guide to the range of techniques and applications used in analysis and valuation of principal debt market instruments. With a wide range of methodologies covered, the reader will gain a solid understanding of fixed-income securities and their associated derivatives.

The book investigates the fundamentals of fixed-income analysis by reviewing the latest research and presenting it in an accessible way, whether the practitioner is new to the field or seasoned and needing a refresher on new developments. The research is summarized in a way that enables readers to apply results to their individual requirements.

A mix of academic theory and market practice, Fixed-Income Securities and Derivatives Handbookpresents an enlightening framework so readers can obtain a firm grounding in fixed-income analytics. ... Read more

Book Description

HIGH-YIELD BONDS provides state-of-the-art research, strategies, and toolsÑalongside the expert analysis of respected authorities including Edward Altman of New York UniversityÕs Salomon Center, Lea Carty of MoodyÕs Investor Service, Sam DeRosa-Farag of Donaldson, Lufkin & Jenrette, Martin Fridson of Merrill Lynch & Company, Stuart Gilson of Harvard University, Robert Kricheff of CS First Boston, and Frank Reilly of the University of Notre DameÑto help you truly understand todayÕs high-yield market. For added value and ease of reference, this high-level one-volume encyclopedia is divided into seven sections detailing virtually every aspect of high-yield bond investment. They include: Market structureÑThe role of investment banks in security innovation and market development, evolution of analytical methodologies, and recent leveraged loan market developments; Security risk analysisÑHistorical bond default rates, real interest rate and default rate relationships, and new simulation methodologies for modeling credit quality; Security valuationÑImpact of seniority and security on bond pricing and return, important trading factors, and a Monte Carlo simulation methodology for valuing bonds and options in the context of correlated interest rate and credit risk; Market valuation modelsÑEconometric studies which detail the importance of monetary influences, risk-free interest rates, default rates, mutual fund flows, and seasonal fluctuations; Portfolio managementÑHistorical perspective and comparison to alternative investments, analysis of indices available to investors, and specific portfolio selection and risk management strategies of professional fund managers; Distressed security investingÑHistorical risk and return information, plus an academic overview of the market and decision criteria for uncovering and investing in securities with higher-than-average risk-adjusted returns; Corporate finance considerationsÑEmerging firmsÕ strategic choice between external debt and equity financing, as well as the choice of issuing public versus private (Rule-144a) securities. HIGH-YIELD BONDS provides extensive coverage of bond valuation and the construction and management of high-yield portfolios. Advanced Monte Carlo simulation models for the valuation of bonds and options on bonds as well as risk assessments on portfolios of bonds under conditions of correlated interest rate and credit risk are demonstrated. In todayÕs explosive environment of multiple new issues and high risk versus return relationships, it is paramount that you get advice from analysts and experts who have been influential in shaping and defining the market. HIGH-YIELD BONDS will provide you with a valuable reference to this fascinating and constantly changing class of securities, helping you assemble a stable, diversified portfolio of fixed income investments that provides the greatest returns and the lowest risks. ... Read more

Reviews (3)

Review of "The Junk" by Melvin Burgess
In my opinion, Junk isn't as good as other books. It is a book, written for young people and about the life of young people. But you always know, what will happen next. We read this book in school, and it was very interesting, but the suspense is only in the first ten chapters. If you have nothing to do, you can read it, but there are more better books to read.

Jan-Oliver Ohloff

The best HY book.
I can't say enough about this book. The book is suprisingly easy to read, and uncovers insights from some of the most prominent names in HY research. A must for HY analysts, MBAs, and CFOs.

The Best Guide Book to High Yield Bonds Ever
I have had the privilege of reading the galley proofs of this book and find it to be THE definitive word on High Yield Investing. This book develops the blueprint for how to navigate, understand, and analyze High Yield Bonds. A must for MBA students, a requirement for anyone in the field already, and a vital tool for investors.

The book's three authors (The George Washington University Business School, Georgetown Business School, and 20+ years High Yield Experience) have used their knowledge and connections to get the best information available ... Read more

Amazon.com

Fixed-income investments will never be as sexy as the day's hottest stock or a mutual fund focusing on the market sector du jour. But their very stability, combined with the equilibrium they provide when the Dow and the NASDAQ start bouncing around like 6-year-olds on a sugar high, are exactly why savvy investors count on them to round out their portfolios. Marilyn Cohen's The Bond Bible offers an unambiguous look at this once-arcane world, which--like much relating to investing--has become considerably less mysterious and immeasurably more accessible with the advent of the Internet. Cohen, president of a capital management firm, fully explains everything from income streams and the Treasury yield curve to the pluses of federal agency bonds and the negatives of high-yield issues. In simple terms, she also addresses advanced strategies such as leveraging, credit rating agencies, and insurance, bond funds and unit trusts, and nontraditional vehicles such as those tied to rock & roll royalties. Exactly how much of your portfolio should be devoted to bonds is a personal choice based on individual circumstances. Once you determine that, however, this book will help you reach an informed decision on what to buy, where to obtain it, and how to manage what you've got. --Howard Rothman ... Read more

Reviews (13)

Paving the Way to Smart Investing
My knowledge about the bond market has increased dramatically since reading "The Bond Bible." As an investor and CPA, I can manuver around some of the pitfalls and sink holes waiting for uneducated investors.

I highly recommend the book to anyone that already owns bonds or is thinking about investing in bonds.

Stocks are not enough...
My name is Bond. Bond Bible. All jokes aside, bonds have been sorely underestimated. So many people forget that bond holders are creditors. So that when a company folds, shareholders lose out, but most often times bond holders get paid out. Ms. Cohen pulls no punches and is solid in her review of the bond world. I even like her inclusion of "Bowie" Bonds, the rock and roll bonds that were founded several years ago.

In all her talk I found her discussion light on leveraged bonds. Bond futures are also a viable means to enter this fixed income investment. I should know I've been doing it for 11 years.

That aside this is a one of kind book that no modern investor can do without.

The Title Gets it Right.
"The Bond Bible" is a solid primer on bonds and bond trading for those who are not financial services professionals. Interest in fixed income investing has risen dramatically with the recent vicissitudes in the equity markets, but wise investors already had a portion of their portfolio assets in debt securities. Marilyn Cohen cites the rule of thumb that an investor should have a fixed income component equal in percentage to their age -- and while not an advocate of "rules of thumb" in general -- I agree. To steal a phrase from Warren Buffett -- it's often more important what you don't lose than what you make! The last two years in the equity markets have demonstrated the value of proper asset allocation, but before charging off to reallocate your investments into fixed income, read "The Bond Bible." A well managed bond element in your portfolio can reward you with income, capital appreciation, AND a return of principal. You won't see that in equities.

In the dark no more!
I've had enough stock-talk! I've listened to the experts and alot of good its done me! Bond advice? Get real, when "experts" talk about bonds its as if they are only talking to each other! Marilyn Cohen educates her readers like real people. The Bond Bible sheds light on a very necessary part of our portfolio (whether to protect against the not-so-reliable stock market) or to plan for retirement. Thank you, Ms. Cohen, there IS another way!

You Can Survive the Bear Market With This Book!
After I lost a lot of money in the tech market crash, I needed a safe haven to begin investing again. In this bear market, I knew bonds were the way to go, but I didn't know anything about them.

This book gives concise answers, explaining what bonds are, how they work and how to effectively invest in them during this bear market.

I will continue to use this book as a reference guide even if the market decides to turn bullish again. ... Read more

Reviews (4)

A Solid Foundation - Not Too Dry
If you've read any number of books on investing, you know they can be tedious.But this book is relatively crisp and to the point.When the details of a subject are beyond the scope of a 200 page read, the book says so.If you are doing anything related to bond investing (even programming!) you should get started with this book.

Very Helpful
As a person studying for the Series 7 examination, this document was extremely helpful in understanding the test preparation material.Other people may say there are errors in the document, well, if that is true, then the test-prep books, and the test itself is wrong.

This is a good book people.It can tell you lots of things.Its only downside is that it needs more numerical examples and more mathematical examples to show the concepts behind yield to mature data.

Good starting point for research on this topic
I found this book to be very helpful in understaning this topic. I would recommend it to people new to the industry as a good starting point to learn about the bond market.

Disappointing and of Questionable Reliability
I found the book disappointing and I question its reliability.

The following quote is taken directly from page 58 of "Howthe Bond Market Works", by Robert Zipf:

"However, the Tennessee Valley Authorityfrequently borrows money from the public.Its securities are notguaranteed by the United States Government, and are not generally exemptfrom state income taxes.

The following quote is taken directly fromthe "Tax Matters" section of bond offering circulars issued by theTennessee Valley Authority.

"A U.S. beneficial owner is subject tofederal income taxation on income on a Bond. The Act, however, providesthat bonds issued by TVA are exempt both as to principal and interest fromall taxation now or hereafter imposed by any state or local taxingauthority except estate, inheritance and gift taxes."

(If you care tocheck it out for yourself, Tennessee Valley Authority offering circularsdating back to 1989 are available online, in PDF format,at the TVA website.) ... Read more

Book Description

Praise for The Bond King

"No investor is held in higher regard by his peers than Bill Gross. His understanding of the markets and his insights on how to profit from them are unparalleled. Now Tim Middleton takes you into Gross’s world for an insider ’s view on how the world of finance really works. If this book were a bond, it would be AAA rated with a double-digit yield."
—Don Phillips, Managing Director, Morningstar, Inc.

"The secret to investment success is discipline. In bonds, nobody has displayed better discipline than Bill Gross. And nobody has done a better job of explaining Gross’ methods, and instructing private investors how they can exploit his approach, than Tim Middleton."
—Jon Markman, Columnist, CNBC on MSN Money

"Warren Buffett, John Neff, Bill Miller, Peter Lynch–the stock market has always had dominant personalities whose long-term success becomes legend. In the bond market that dominant personality is Gross."
–Fortune

"Bill Gross is the Emeril Lagasse of bond managers."
–Forbes

"If you want to get a stock mutual fund manager steamed, ask why his fund can’t beat bond guru Bill Gross."
–USA Today ... Read more

Reviews (4)

Fascinating insight on an investing superstar
Even after 17 years as a financial journalist, I knew precious little about Bill Gross, one of this country's richest men and greatest investors. Yes, I knew that Gross was the acknowledged king of the bond market, the Warren Buffet of the fixed-income set. But I had little appreciation for the scope or scale of his accomplishments or the methodology behind them. Thanks to this entertaining book from Timothy Middleton, a former colleague of mine at Dow Jones, I now consider my education more complete. "The Bond King" is fun reading, and, for the value-conscious, three books in one: a lively personality profile that benefits from Middleton's behind-the-scenes access to Gross over the course of nine months of research, a primer on the bond market, and a how-to manual for anyone interested in trying to mimic Gross's success. For good measure, the book also includes portraits of three legendary investors who influenced Gross's career: speculators Jessie Livermore and Bernard Baruch, and financier J. Pierpont Morgan. While reading "The Bond King" may not make you an all-star bond investor--for that, you'd need not just Gross's recipe but also his genius--it will make you a better bond investor. And if you just want to know more about a man who will go down as one of the legendary investors of our era, "The Bond King" is a perfect read for the beach this summer.

Hype & Fluff from MSNBC's Middleton
Gross is an excellent bond trader (and thats the key word, he actively trades, PIMCO trades) no doubt about it, but Middleton makes a read much like Bonners "Financial Reckoning Day" he just keeps repeating his mantra: Total Return.

In total honesty you could summarize this book in the following words: active buying and selling of bonds will give you "total return." What counts as total return is the coupon and the price you make from selling. There are no "secrets" as alleged on the slick paper wrapper and there is very little "Gross." Its all Middleton's fluff and it looks like he would do quite well in a prior era where people were paid by the word.

Great Addition to Any Investor's Library
I've been a Bill Gross fan for a long time, and this book really provides terrific insights into what makes the man tick and what makes his investing style so successful. I've caught glimpses of both those things in a handful of magazine articles over the years, but this book paints the whole picture. I have long believed that bonds should play an important role in any investor's portfolio, but I felt like I was howling into the wind through the late '90s. The stock market collapse was reality's slap in the face for a lot of "equity-heads." Now that investors are coming back to their senses and embracing the virtues of a truly balanced portfolio, this book should be an essential part of their investing library. Middleton does a good job not only of showing us what makes Bill Gross tick, but more importantly showing us what makes his bond investing strategies work so well.

Worth the King's Ransom
Tim Middleton's almost epic tale about Bond King Bill Gross is entertaining, enlightening and, dare I say it, engrossing! At the tail end of a 20-year bull market in bonds, it's worth noting that Gross is one of the few managers with the gumption to have issued a warning that the good old days may be about over. How many fund managers actually warn you NOT to buy their funds? That's honesty. I recommend you read this book to find out what makes this guy so honest, so rich, and so worth listening to. ... Read more

Book Description

In recent years, interest-rate modeling has developed rapidly in terms of both practice and theory. The academic and practitioners' communities, however, have not always communicated as productively as would have been desirable. As a result, their research programs have often developed with little constructive interference. In this book, Riccardo Rebonato draws on his academic and professional experience, straddling both sides of the divide to bring together and build on what theory and trading have to offer.

Rebonato begins by presenting the conceptual foundations for the application of the LIBOR market model to the pricing of interest-rate derivatives. Next he treats in great detail the calibration of this model to market prices, asking how possible and advisable it is to enforce a simultaneous fitting to several market observables. He does so with an eye not only to mathematical feasibility but also to financial justification, while devoting special scrutiny to the implications of market incompleteness.

Much of the book concerns an original extension of the LIBOR market model, devised to account for implied volatility smiles. This is done by introducing a stochastic-volatility, displaced-diffusion version of the model. The emphasis again is on the financial justification and on the computational feasibility of the proposed solution to the smile problem. This book is must reading for quantitative researchers in financial houses, sophisticated practitioners in the derivatives area, and students of finance.

... Read more

Reviews (5)

Excellent Treatment of Interest Rate Derivatives
I'm an interest rate professional with more than 10 years of successful pricing and trading experience, and I enjoyed and appreciated Riccardo Rebonato's clear presentation of the pricing of these derivatives. I keep this on my desk as one of my key references.

Another great read is "Credit Derivatives" (2nd Edition) by Tavakoli. The products and their uses are clearly explained, and ties in relative value to the interest rate market. I concede that the models for this product may be trickier because of documentation risk and data issues, but Tavakoli brings clarity to this topic so any interest rate professional can grasp the products and why investors - even hedge funds - are so keen to use them.

why bother
It's hard to believe a reviewer with such a myopic view of Derivatives pricing could go through the whole book, understood it and found time to rate it. Mindblowing waste of time !
Few hundreds years ago, he would have recommended burning the Madmen claiming the earth was round.

Anyway, while Derivatives Pricing achieves little for the welfare of mankind, the recent need for assets based on ever complex market scenarios calls for a more refined pricing methodology. There no supply and demand here, only customers who want hedge/trade/tradge assets /liabilities and traders who need to make sure their firms don't go burst when market move.

The author answers that demand by formatting and publishing his papers.

rebonato does it again
My avid reading kept jostling out superb hot ideas from this book. Rebonato carries out a comprehensive survey of the LIBOR market model. He tackles historical background, calibration, and effective implementation. The later chapters also cover extensions to the LIBOR market model to take account of smile and skew. In particular, there is extensive discussion of the cutting-edge Joshi-Rebonato stochastic-vol, displaced-diffusion LIBOR market model.

If you are working on the pricing of exotic interest rate derivatives, this book is a must buy.

Such pearls of wisdom
I am not qualified to write a review of this book, but neither is the above author as his "review" is nothing more than an uninformed assault on modern finance.

In fact, I submit, that said reviewer knows nothing of finance whatsoever.

(Since this book happens to be well regarded, I'll give it a five)

A theoretical substitute for supply and demand
A complicated body of mathematical theory, developed over a period of about 30 years, addresses the question: how should derivative X be valued if we know certain parameters, especially the volatility of the price of its underlying asset?

But why exactly does the question need answering? After all, the price of X, like that of its underlying, is determined by the point at which the demand for X is equal to the supply of X. One doesn't need a computer for that, one just needs a liquid marketplace. I can look up the price of a share of Microsoft's equity in my daily newspaper. I'm not tempted to develop a body of theory to figure it out, when I can flip through a few pages and find it.

Nowadays, I can also look up the price of a standardized option to buy Microsoft in the newspaper. In 1973, when people like Fischer Black began developing this body of theory, that was not yet the case.

This brings us to the point of my little sermon. The purpose of this body of theory is to produce a price figure in cases where there is not a liquid market for X. The theories answer the question a portfolio manager must often ask himself: if I were able to find a buyer for X, how much could I charge for it?

This book has its moments, but in general I believe this body of theory accomplishes less than its adepts believe. The imagery of a God-like Newton on the dust jacket indicates, I submit, some of the pretentiousness that gets into their ivory towers. ... Read more

Book Description

Duration, Convexity and other Bond Risk Measures offers the most comprehensive coverage of bond risk measures available. Financial expert Frank Fabozzi walks you through every aspect of bond risk measures from the price volatility characteristics of option-free bonds and bonds with embedded options to the proper method for calculating duration and convexity.Whether you’re a novice trader or experienced money manager, if you need to understand the interest rate risk of a portfolio Duration, Convexity and other Bond Risk Measures is the only book you’ll need. ... Read more

Reviews (3)

5 stars for Stanley Diller. Zero stars for Fabozzi.
It's difficult to say this politely, but it seems a lot of this material should be credited to Stanley Diller who published "Parametric Analysis" for distribution to Goldman Sachs clients and then expanded on this work at Bear Stearns, and Paine Webber. Stanley is known as the "Father of Convexity" and the work on bond risk measures he did was brilliant and comprehensive. It seems that if work is going to be so heavily borrowed, credit should be prominently given to the source.

Frank's best short story
Fabozzi has a lot of intuitive books, but I think this is the best concise book out there that give a focused discussion on Convexity and Duration. Lucid on all aspects of bond convexity and a very good analysis of option embedded bonds with negative convexity.

Comprehensive review of fundamental concepts.
the book gives the fundamentals of risk management. You can grasp the idea of duration, convexity and other commonly used terms. The book especially tells how you will use the terms, not to derive them. I recommend the book, it is indeed useful ... Read more

Book Description

"A delightful instruction to the wonderful world of bonds for the non-professional investor, written in terms that you could explain to your mother-in-law; or that she could explain to you!"
–Paul McCulley
Managing Director and Fund Manager
PIMCO, one of the world’s leading fixed-income managers

"Michael Brandes has written a thorough, useful, and highly readable treatise on bonds. Investors seeking a balanced, diversified portfolio are advised to read it."
–Tom Gardner
Co-founder, The Motley Fool

"This book cuts through the jargon and gets right to the point. A bond market primer that not only teaches the basics, but also is enjoyable to read."
–Gregory Peters
Head of Credit Strategy, Morgan Stanley

"The title says it all. The book is to the point and easy to understand. I wish I had Michael’s so easy-to-understand reference to bonds years ago."
–Alan R. Shaw
Managing Director, U.S. Equity Research
Smith Barney (a division of Citigroup)

"Fixed income can be an enormously complex and confusing asset class–even for seasoned investment professionals–with a dizzying array of instruments and strategies. Fortunately, Brandes has done a marvelous job of pulling back the proverbial curtain, to unveil and demystify the bond market by breaking a complicated topic down into simple, manageable, and understandable building blocks."
–Philip J. Orlando, CFA
Senior Vice President and Senior Portfolio Manager, Federated Investors

"Everything here about bonds is bite size and easy to digest. Pleasantly so. This book marks a clear path for individual investors to follow, and will fill you with many new insights. An extremely handy guide for anyone who wants to invest in bonds for safety and income."
–John Tracy
author of the bestselling book How to Read a Financial Report ... Read more

Reviews (6)

Insightful!
In this very good beginner's guide to the bond market, author Michael V. Brandes addresses all of the fundamental questions clearly and concisely. Bond math can be daunting, but while the author includes a few equations for illustrative purposes, he clearly addresses his book to the general run of individual investors. The book, which has moments of surprising good humor, says right off the bat that bond investing can be dull in comparison to stock investing, not because the stakes are lower, but because the elements of personality and surprise are considerably more muted in the debt market than in the equity markets. We highly recommend this book, even though it is pedantic at times - a risk you take when you venture into the complex realm of bond investing.

A Great Book on Bonds
I read the Motley Fool Investment Guide and really liked it, so when I saw this at the bookstore with Tom Gardner's endorsement on it, I thought I'd give it a shot. Just like the Fools, this book is written for regular people and is pretty humorous (for an investment book!). The chapters are well organized so that you learn about bonds "step-by-step". It includes discussions about every type of bond and advice on how to put them into your
portfolio. It's definitely not written like a textbook -- even