Book description
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
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 marketsÂ-from municipals to liquid
products including Treasuries, swaps, futures, and optionsÂ-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.
