<p>Preface<br>Acknowledgments<br>Contributors</p><p>PART ONE: INTRODUCTION<br>1. Overview of the Types and Features of Fixed Income Securities<br>2. Risks Associated with Investing in Fixed Income Securities<br>3. The Structure of Interest Rates</p><p>PART TWO: BASICS OF FIXED INCOME ANALYTICS<br>4. Bond Pricing, Yield Measures, and Total Return<br>5. Measuring Interest-Rate Risk<br>6. Data Science and the Corporate Credit Markets</p><p>PART THREE: TREASURY, AGENCY, MUNICIPAL, AND CORPORATE BONDS<br>7. U.S. Treasury Securities<br>8. Agency Debt Securities<br>9. Municipal Bonds<br>10. Corporate Bonds<br>11. Leveraged Loans<br>12. Structured Notes and Credit-Linked Notes<br>13. Commercial Paper<br>14. Floating-Rate Securities<br>15. Inflation-Linked Bonds<br>16. Non-U.S. Sovereign Bonds<br>17. The Emerging Markets Debt<br>18. Fixed Income Exchange Traded Funds<br>19. Nonconvertible Preferred Stock<br>20. Private Infrastructure Debt</p><p>PART FOUR: MORTGAGE-BACKED AND ASSET-BACKED SECURITIES<br>21. An Overview of Mortgages and the Mortgage Market<br>22. Agency Mortgage Passthrough Securities<br>23. Agency Collateralized Mortgage Obligations<br>24. Stripped Mortgage-Backed Securities<br>25. Nonagency Residential Mortgage-Backed Securities: Legacy, RMBS 2.0, and Non-QM<br>26. Covered Bonds<br>27. Commercial Mortgage-Backed Securities<br>28. Credit Card Asset-Backed Securities<br>29. Securities Backed by Auto Loans and Leases, Equipment Loans and Leases, and Student Loans<br>30. Collateralized Loan Obligations</p><p>PART FIVE: THE YIELD CURVE AND THE TERM STRUCTURE<br>31. Overview of Forward Rate Analysis<br>32. A Framework for Analyzing Yield-Curve Trades<br>33. Empirical Yield-Curve Dynamics and Yield-Curve Exposure<br>34. Term Structure Modeling with No-Arbitrage Interest Rate Models</p><p>PART SIX: VALUATION AND RELATIVE VALUE<br>35. Relative Value Trading<br>36. Valuation of Bonds with Embedded Options<br>37. Valuation of Mortgage-Backed Securities<br>38. Convertible Securities<br>39. Risk Neutral Pricing of Convertible Bonds</p><p>PART SEVEN: CREDIT ANALYSIS<br>40. Credit Analysis for Corporate Bonds<br>41. The Credit Analysis of Municipal General Obligation and Revenue Bonds<br>42. Credit-Risk Modeling</p><p>PART EIGHT: PORTFOLIO MANAGEMENT AND STRATEGIES<br>43. Introduction to Bond Portfolio Management<br>44. Trading in the Bond Market<br>45. Bond Indexes and Bond Portfolio Management<br>46. Quantitative Management of Benchmarked Portfolios<br>47. Factor Investing in Fixed Income Securities<br>48. Active Factor Fixed Income Investing<br>49. Introduction to Multifactor Risk Models in Fixed Income and Their Applications<br>50. Analyzing Risk from Multifactor Fixed Income Models<br>51. Cash-Flow Matching<br>52. Building Corporate Bond Portfolios<br>53. Managing the Spread Risk of Credit Portfolios Using the Duration Times Spread Measure<br>54. Constructing and Managing High-Yield Bond Portfolios<br>55. Corporate Bonds and ESG<br>56. Global Credit Bond Portfolio Management<br>57. International Bond Portfolio Management<br>58. Factor Investing in Sovereign Bond Markets<br>59. Hedge Fund Fixed Income Strategies<br>60. Financing Positions in the Bond Market</p><p>PART NINE: DERIVATIVE INSTRUMENTS AND THEIR APPLICATIONS<br>61. Introduction to Interest-Rate Futures and Options Contracts<br>62. Pricing Futures and Portfolio Applications<br>63. Controlling Interest-Rate Risk with Futures and Options<br>64. Interest-Rate Swaps<br>65. The Valuation of Interest-Rate Swaps and Swaptions<br>66. The Basics of Interest-Rate Options<br>67. Interest-Rate Caps and Floors<br>68. Credit Derivatives<br>69. Credit Derivative Valuation and Risk</p><p>PART TEN: PERFORMANCE ATTRIBUTION ANALYSIS<br>70. Principles of Performance Attribution<br>71. Performance Attribution for Portfolios of Fixed Income Securities<br>72. Advanced Topics in Performance Attribution</p><p>Index</p>
