Fixed Income Mathematics, Fifth Edition: Analytical and Statistical Techniques

The standard reference for fixed income portfolio managers--fully updated with new analytical frameworks

Fixed Income Mathematics is known around the world as the leading guide to understanding the concepts, valuation models for bonds with embedded option, mortgage-backed securities, asset-backed securities, and other fixed income instruments, and portfolio analytics.

Fixed Income Mathematics begins with basic concepts of the mathematics of finance, then systematically builds on them to reveal state-of-the-art methodologies for evaluating them and managing fixed-income portfolios. Concepts are illustrated with numerical examples and graphs, and you need only a basic knowledge of elementary algebra to understand them.

This new edition includes several entirely new chapters―Risk-Adjusted Returns, Empirical Duration, Analysis of Floating-Rate Securities, Holdings-Based Return Attribution Analysis, Returns-Based Style Attribution Analysis, Measuring Bond Liquidity, and Machine Learning―and provides substantially revised chapters on:

• Interest rate modeling
• Probability theory
• Optimization models and applications to bond portfolio management
• Historical return measures
• Measuring historical return volatility

The concepts and methodologies for managing fixed income portfolios has improved dramatically over the past 15 years. This edition explains these changes and provides the knowledge you need to value fixed-income securities and measure the various types of risks associated with individual securities and portfolios.

《固定收益數學》是全球公認的固定收益投資組合經理的標準參考書，全新更新的版本引入了新的分析框架。

《固定收益數學》是全球公認的指南，用於理解債券估值模型、具有內嵌選擇權的債券、抵押支持證券、資產支持證券和其他固定收益工具以及投資組合分析。

《固定收益數學》從金融數學的基本概念開始，然後系統地擴展這些概念，揭示了評估和管理固定收益投資組合的最新方法。概念通過數值示例和圖表進行說明，您只需要基本的初等代數知識就能理解它們。

這個新版本包括幾個全新的章節，包括風險調整回報、實證期限、浮動利率證券分析、基於持倉的回報歸因分析、基於回報的風格歸因分析、衡量債券流動性和機器學習，並對以下章節進行了大幅修訂：

- 利率建模
- 概率論
- 優化模型及其在債券投資組合管理中的應用
- 歷史回報指標
- 衡量歷史回報波動性

在過去的15年中，管理固定收益投資組合的概念和方法有了顯著改進。本書解釋了這些變化，並提供了評估固定收益證券價值以及衡量個別證券和投資組合所涉及的各種風險的知識。