Interest Rate Markets: A Practical Approach to Fixed Income - Hardcover

Jha, Siddhartha

Hardcover

ISBN 10: 0470932201 ISBN 13: 9780470932209

Publisher: Wiley, 2011

Synopsis

How to build a framework for forecasting interest rate market movements

With trillions of dollars worth of trades conducted every year in everything from U.S. Treasury bonds to mortgage-backed securities, the U.S. interest rate market is one of the largest fixed income markets in the world.

Interest Rate Markets: A Practical Approach to Fixed Income details the typical quantitative tools used to analyze rates markets; the range of fixed income products on the cash side; interest rate movements; and, the derivatives side of the business.

• Emphasizes the importance of hedging and quantitatively managing risks inherent in interest rate trades
• Details the common trades which can be used by investors to take views on interest rates in an efficient manner, the methods used to accurately set up these trades, as well as common pitfalls and risks?providing examples from previous market stress events such as 2008
• Includes exclusive access to the Interest Rate Markets Web site which includes commonly used calculations and trade construction methods

Interest Rate Markets helps readers to understand the structural nature of the rates markets and to develop a framework for thinking about these markets intuitively, rather than focusing on mathematical models

About this title

About the Author

SIDDHARTHA JHA is a Senior Analyst with Arrowhawk Capital Partners. Previously, as part of J. P. Morgan's Fixed Income Strategy Team, he covered a wide range of rates markets—from municipals to liquid products including Treasuries, swaps, futures, and options—analyzing macroeconomic trends as well as short-term technical factors. He spent five years there developing trade ideas, building quantitative models, and discussing market trends with institutional investors. He graduated cum laude with a dual bachelor's and master's in applied mathematics and statistics from Harvard University.

From the Back Cover

An indispensable tool of the trade

With trades worth trillions of dollars annually, the U.S. interest rate markets are some of the largest and most important markets in the world. These markets attract a wide variety of participants, from individuals and corporations to governments, and offer numerous financial instruments that include bonds, swaps, futures, and options. Each of these instruments requires careful understanding of unique risks.

Growing out of the author's experience as a fixed income strategist, Interest Rate Markets equips the reader with the knowledge and tools needed to rationally assess those risks for informed investment decisions. Toward this end, the book discusses the structural drivers and the main players of fixed income markets; explains how to understand and forecast the yield curve and spreads; and elaborates on the trades in cash and derivative products. To develop a complete picture of fixed income space, it analyzes rate options and volatility trading.

A detailed primer, Interest Rate Markets starts from the first principles to acquaint newcomers with interest rate products, mathematical tools, and intuitive understanding of market concepts. It then expands upon these basics and provides an in-depth understanding of the drivers of rates markets and interest rate volatility. The experienced professional will find this book an indispensable resource on trading, hedging, and market indicators. Seasoned professionals and novices alike will also find value on the companion website, including example sets, commonly used calculations, and trade construction methods.

From the Inside Flap

With trades worth trillions of dollars annually, the U.S. interest rate markets are some of the largest and most important markets in the world. These markets attract a wide variety of participants, from individuals and corporations to governments, and offer numerous financial instruments that include bonds, swaps, futures, and options. Each of these instruments requires careful understanding of unique risks.

Growing out of the author's experience as a fixed income strategist, Interest Rate Markets equips the reader with the knowledge and tools needed to rationally assess those risks for informed investment decisions. Toward this end, the book discusses the structural drivers and the main players of fixed income markets; explains how to understand and forecast the yield curve and spreads; and elaborates on the trades in cash and derivative products. To develop a complete picture of fixed income space, it analyzes rate options and volatility trading.

A detailed primer, Interest Rate Markets starts from the first principles to acquaint newcomers with interest rate products, mathematical tools, and intuitive understanding of market concepts. It then expands upon these basics and provides an in-depth understanding of the drivers of rates markets and interest rate volatility. The experienced professional will find this book an indispensable resource on trading, hedging, and market indicators. Seasoned professionals and novices alike will also find value on the companion website, including example sets, commonly used calculations, and trade construction methods.

Edition details

• Publisher: Wiley
• Publication date: 2011
• ISBN 10: 0470932201
• ISBN 13: 9780470932209
• Binding: Hardcover
• Language: English
• Edition number: 1
• Number of pages: 368