The standard reference for fixed income portfolio managersâfully 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 chaptersâRisk-Adjusted Returns Empirical Duration Analysis of Floating-Rate Securities Holdings-Based Return Attribution Analysis Returns-Based Style Attribution Analysis Measuring Bond Liquidity and Machine Learningâand provides substantially revised chapters on: Interest rate modelingProbability theoryOptimization models and applications to bond portfolio managementHistorical return measuresMeasuring 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. . Language: English