Table of Contents |
| Preface | xxiii |
| Acknowledgments | xxv |
| Contributors | xxvii |
Part 1 | Background | |
| Chapter 1 | Overview of the Types and Features of Fixed Income Securities / Frank J. Fabozzi, Michael G. Ferri, Steven V. Mann | 3 |
| Chapter 2 | Risks Associated with Investing in Fixed Income Securities / Ravi E. Dattatreya, Frank J. Fabozzi | 21 |
| Chapter 3 | A Review of the Time Value of Money / Frank J. Fabozzi | 31 |
| Chapter 4 | Bond Pricing and Return Measures / Frank J. Fabozzi | 51 |
| Chapter 5 | Measuring Interest Rate Risk / Frank J. Fabozzi, Gerald W. Buetow, Jr., Robert R. Johnson | 85 |
| Chapter 6 | The Structure of Interest Rates / Frank J. Fabozzi | 131 |
| Chapter 7 | Bond Market Indexes / Frank K. Reilly, David J. Wright | 155 |
Part 2 | Government and Private Debt Obligations | |
| Chapter 8 | U.S. Treasury and Agency Securities / Frank J. Fabozzi, Michael J. Fleming | 175 |
| Chapter 9 | Municipal Bonds / Sylvan G. Feldstein, Frank J. Fabozzi, Patrick M. Kennedy | 197 |
| Chapter 10 | Private Money Market Instruments / Frank J. Fabozzi, Steven V. Mann | 231 |
| Chapter 11 | Corporate Bonds / Frank J. Fabozzi, Richard S. Wilson, Richard Todd | 253 |
| Chapter 12 | Medium-Term Notes / Leland E. Crabbe | 283 |
| Chapter 13 | Inflation-Indexed Bonds (TIPS) / John B. Brynjolfsson | 301 |
| Chapter 14 | Floating-Rate Securities / Steven V. Mann, Frank J. Fabozzi | 325 |
| Chapter 15 | Nonconvertible Preferred Stock / Richard S. Wilson | 337 |
| Chapter 16 | International Bond Markets and Instruments / Christopher B. Steward | 361 |
| Chapter 17 | Brady Bonds / Jane Sachar Brauer, Douglas Chen | 379 |
| Chapter 18 | Stable Value Investments / Kenneth L. Walker | 399 |
Part 3 | Credit Analysis | |
| Chapter 19 | Credit Analysis for Corporate Bonds / Jane Tripp Howe | 417 |
| Chapter 20 | Credit Considerations in Evaluating High-Yield Bonds / Jane Tripp Howe | 459 |
| Chapter 21 | Investing in Chapter 11 and Other Distressed Companies / Jane Tripp Howe | 469 |
| Chapter 22 | Guidelines in the Credit Analysis of General Obligation and Revenue Municipal Bonds / Sylvan G. Feldstein | 491 |
| Chapter 23 | High-Yield Analysis of Emerging Markets Debt / Allen A. Vine | 519 |
Part 4 | Mortgage-Backed and Asset-Backed Securities | |
| Chapter 24 | Mortgages and Overview of Mortgage-Backed Securities / Frank J. Fabozzi, Chuck Ramsey | 549 |
| Chapter 25 | Mortgage Pass-Throughs / Lakhbir S. Hayre, Cyrus Mohebb, Thomas A. Zimmerman | 573 |
| Chapter 26 | Collateralized Mortgage Obligations Lehman Brothers Inc. | 619 |
| Chapter 27 | Nonagency CMOS / Frank J. Fabozzi, Anthony B. Sanders, David Yuen, Chuck Ramsey | 649 |
| Chapter 28 | Commercial Mortgage-Backed Securities / Anthony B. Sanders | 663 |
| Chapter 29 | Securities Backed by Automobile Loans / W. Alexander Roever, John N. McElravey, Glenn M. Schultz | 679 |
| Chapter 30 | Securities Backed by Closed-End Home Equity Loans / R. Russell Hurst | 703 |
| Chapter 31 | Securities Backed by Manufactured Housing Loans / James S. Anderson, Kristina L. Clark | 721 |
| Chapter 32 | Securities Backed by Credit Card Receivables / John N. McElravey | 739 |
Part 5 | Fixed Income Analytics and Modeling | |
| Chapter 33 | Characteristics of and Strategies with Callable Securities / Douglas Johnston | 759 |
| Chapter 34 | Valuation of Bonds with Embedded Options / Frank J. Fabozzi, Andrew J. Kalotay, George O. Williams | 773 |
| Chapter 35 | Valuation of CMOs / Frank J. Fabozzi, Scott F. Richard, David S. Horowitz | 795 |
| Chapter 36 | Fixed Income Risk Modeling / Ronald N. Kahn | 819 |
| Chapter 37 | OAS and Effective Duration / David Audley, Richard Chin, Shrikant Ramamurthy | 831 |
| Chapter 38 | Evaluating Amortizing ABS: A Primer on Static Spread / Anthony V. Thompson | 847 |
Part 6 | Portfolio Management | |
| Chapter 39 | Bond Management: Past, Current, and Future / H. Gifford Fong | 855 |
| Chapter 40 | The Active Decisions in the Selection of Passive Management and Performance Bogeys / Chris P. Dialynas | 863 |
| Chapter 41 | Managing Indexed and Enhanced Indexed Bond Portfolios / Kenneth E. Volpert | 887 |
| Chapter 42 | Global Corporate Bond Portfolio Management / Jack Malvey | 913 |
| Chapter 43 | Management of a High-Yield Bond Portfolio / J. Thomas Madden, Joseph Balestrino | 945 |
| Chapter 44 | Bond Immunization: An Asset/Liability Optimization Strategy / Frank J. Fabozzi, Peter F. Christensen | 957 |
| Chapter 45 | Dedicated Bond Portfolios / Frank J. Fabozzi, Peter F. Christensen | 969 |
| Chapter 46 | Managing Market Risk Proactively at Long-Term Investment Funds / Lang Gibson | 985 |
| Chapter 47 | Improving Insurance Company Portfolio Returns / Kevin Edward Grant | 1011 |
| Chapter 48 | International Bond Investing and Portfolio Management / Christopher B. Steward, Adam M. Greshin | 1027 |
| Chapter 49 | International Fixed Income Investing: Theory and Practice / Michael R. Rosenberg | 1061 |
Part 7 | Equity-Linked Securities and Their Valuation | |
| Chapter 50 | Convertible Securities and Their Investment Characteristics / Chris P. Dialynas, Sandra Durn, John C. Ritchie, Jr. | 1103 |
| Chapter 51 | Convertible Securities and Their Valuation / Mihir Bhattacharya | 1127 |
Part 8 | Derivative Instruments and Their Portfolio Management Applications | |
| Chapter 52 | Introduction to Interest-Rate Futures and Options Contracts / Mark Pitts, Frank J. Fabozzi | 1175 |
| Chapter 53 | Pricing Futures and Portfolio Applications / Frank J. Fabozzi, Mark Pitts | 1197 |
| Chapter 54 | Treasury Bond Futures Mechanics and Basis Valuation / David T. Kim | 1209 |
| Chapter 55 | The Basics of Interest-Rate Options / William J. Gartland, Nicholas C. Letica | 1233 |
| Chapter 56 | Controlling Interest Rate Risk with Futures and Options / Frank J. Fabozzi, Shrikant Ramamurthy, Mark Pitts | 1259 |
| Chapter 57 | Interest-Rate Swaps / Anand K. Bhattacharya, Frank J. Fabozzi | 1297 |
| Chapter 58 | Interest-Rate Caps and Floors and Compound Options / Anand K. Bhattacharya | 1317 |
| Index | 1337 |