Wondering if anyone can suggest good books to gain fixrd income knowledge?
Handbook of Fixed Income Securities, Frank Fabozzi
That’s one of the books I keep next to my toilet. Very dull but lots to read.
Although I don’t have it, many folks have recommended Tuckman: http://www.amazon.com/gp/product/0471063177/ref=wl_it_dp?ie=UTF8&coliid=I3M1MUSZM0A125&colid=P57O2FPFIQ6C Many reviewers explicitly compare it to Fabozzi, whose edited works I’ve also found irritatingly inconsistent. Martellini et al is also on my wish list: http://www.amazon.com/gp/product/0470852771/ref=wl_it_dp?ie=UTF8&coliid=I3U65S07PNSZ8S&colid=P57O2FPFIQ6C
So sometime when I get infinite time and motivation it would be really cool to write a book based on the notion that every bond out there is just a interest rate derivative. A little work says that that means that every fixed income investment should be priced based on the current short rate and then a risk neutral expectation based on some model of interest rate evolution. That means you could use an arbitrage -free interest rate model and simply describe all fixed income instruments in exactly the same framework. Be pretty cool. Kind of one of those theories of everything approaches…
JoeyDVivre Wrote: ------------------------------------------------------- > So sometime when I get infinite time and > motivation it would be really cool to write a book > based on the notion that every bond out there is > just a interest rate derivative. A little work > says that that means that every fixed income > investment should be priced based on the current > short rate and then a risk neutral expectation > based on some model of interest rate evolution. > That means you could use an arbitrage -free > interest rate model and simply describe all fixed > income instruments in exactly the same framework. > Be pretty cool. Kind of one of those theories of > everything approaches… Joey boy, you obviously haven’t read enough (or in-depth) on fixed-income books. There is no novelty in anything you mentioned. Anyone who has read any decent FI book would be familiar with the notion that all FI instruments are merely IRD. And that short rate model you are talking about, is that the Vasicek/CIR/etc/etc model you have in mind? Gee… you must be really old school or haven’t been keeping up with the development. WHo cares about short-rate models these days? Always making a clown of yourself whenever I read your posts, Joey boy. “Be pretty cool”? Hahahahahahaa. Go grab a copy of rebonato or brigo/mercurio. And please, stop pretending to be who you are not.
Actually, I have lots of them and the book I am talking about doesn’t exist. Sorry I didn’t write up the book proposal for you. And yes, the idea that a bond is an interest rate derivative is at least 50 years old. And btw - what’s wrong with those models that would make them inappropriate for any general framework (hence, obviously not one I’m talking about?)
Price and content wise I guess this is the best one then Fixed Income Analysis by Fabozzi http://www.amazon.com/gp/product/047005221X?ie=UTF8&tag=aboutspringbr-20&linkCode=xm2&camp=1789&creativeASIN=047005221X
Handbook of Fixed Income Securities, Frank Fabozzi this is supposedly the bible. read first few chapters, pretty intuitive. a gotta-have!
How do you get to write something called “Handbook for [blah]”?