When Genius Failed: The Rise and Fall of Long-Term Capital Management
By Roger Lowenstein

In 1994, bond arbitrage guru John Meriwether, late of Salomon Brothers, launched a hedge fund. Its partners included two soon-to-be Nobel laureates and an ex-vice chairman of the Federal Reserve. The fund
was to exploit highly quantitative techniques to bet primarily on bond spreads throughout the world, using large amounts of leverage to magnify
small returns from supposedly low-risk positions.

The story of the rise and fall of Long Term Capital Management is compelling not only for people interested in finance, but for anyone fascinated by the spectacle of very smart people losing enormous sums of money. The fund's potential bankruptcy so threatened the world economy that the U.S. Federal Reserve had to step in to broker a rescue. Lowenstein's book makes this story accessible by glossing over some of the technical details, a tradeoff of readability for depth, but still provides insight into the causes of LTCM's collapse.

When Genius Failed  is a classic tale of greed and fear on Wall Street. Lowenstein tells it well, especially in the later chapters, which give readers a blow-by-blow account of the bailout negotiations. What's more, he brings out the story's particular pertinence for today's investors: Even with all the brains and all the computers in the world, investors can't control, let alone predict, human nature.

Naked Guide to Bonds: What You Need to Know -- Stripped Down to the Bare Essentials   by Michael V. Brandes
Rather than writing an all-inclusive book on the bond market, Brandes uses his expertise to eliminate the information that is not relevant to individual investors. The result is a practical and succinct guide that empowers you to make informed investment decisions. It begins with basic questions such as: Who issues bonds, and why? And how are bonds bought and sold? Then you’ll learn about the structure of these securities and the characteristics that distinguish them. Armed with the fundamentals, you’ll discover how inflation, interest rates, and changes in the economy impact bond prices. Most importantly, you’ll understand how to identify the bonds that are appropriate for you.

The The Bond Bible  by Marilyn Cohen
The Bond Bible offers an unambiguous look at this once-arcane world, which has become considerably less mysterious and immeasurably more accessible with the advent of the Internet. Cohen fully explains everything from income streams and the Treasury yield curve to the pluses of federal agency bonds and the negatives of high-yield issues. In simple terms, she also addresses advanced strategies such as leveraging, credit rating agencies, and insurance, bond funds and unit trusts. Exactly how much of your portfolio should be devoted to bonds is a personal choice based on individual circumstances. Once you determine that, however, this book will help you reach an informed decision on what to buy, where to obtain it, and how to manage what you've got.

The Bond Book: Everything Investors Need to Know About Treasuries, Municipals, GNMAs, Corporates, Zeros, Bond Funds, Money Market Funds, and More   by Annette Thau
The Bond Book  does a superb job of explaining simply and clearly what an investor needs to know about bonds. The second edition improves on upon the first by including recent innovations in the bond market, such as the Treasury's inflation-linked securities, and by discussing the role of the Internet as an investment resource. Investors who are new to the bond market will find this book to be a great guide for how to get started. Seasoned investors will find it to be a handy reference tool.
The Strategic Bond Investor: Strategies and Tools to Unlock the Power of the Bond Market   by Anthony Crescenzi
In addition to the investment dynamics of bonds, this fast-paced book discusses the importance of today's fixed income market to the economy in general. From the vital role of bonds in providing capital to growing businesses to the ways in which increased securitization and innovation assure the continued growth of the bond market, seasoned investment professional Anthony Crescenzi helps you understand every market facet ­­ and provides you with a bedrock foundation for making profitable decisions. Bonds are a vital component of any well-diversified investment portfolio. Learn the rules of the game in The Strategic Bond Investor, and discover short and long-term techniques and strategies you can use to take advantage of the unlimited potential of bond investing and make it a vital component of your overall trading strategy.
The Fundamentals of Municipal Bonds, 5th Edition  by The Bond Market Association
"This is simply the most comprehensive, useful look-it-up book on municipal bonds I’ve ever read (said with all due respect to The ABC of Municipal Bonds my dad wrote in 1937 when I was nine). Read Fundamentals  cover to cover. I’m keeping mine in my briefcase, under my arm, at my fingertips. No accountant, financial advisor, attorney, new bond salesman, reporter, regulator, test-writer, cautious, suspicious first-time investor in municipal bonds, or dinner guest is ever going to catch me again with a question about municipal bonds I can’t answer." -- Jim Lebenthal, Chairman, Lebenthal & Co.
Bond Market Securities  by Moorad Choudhry
Investors need to be fully conversant with the differences in the way that bonds are structured, valued and traded. Bond Market Securities  contains a wide range of methodologies that will help the reader to gain a good understanding of fixed income securities and some of their associated derivatives. The book investigates the fundamentals of fixed income analysis, reviewing the latest research and presenting it in an accessible way that is suitable for practitioners and graduate students alike. The research is summarized in a way that allows readers to apply results to their individual requirements. Important subjects are covered in a straightforward style, using only essential mathematics, while further references are listed in full so that the reader may undertake further research.

Modern Pricing of Interest-Rate Derivatives: The Libor Market Model and Beyond  by Riccardo Rebonato
In recent years, interest-rate modeling has developed rapidly in terms of both practice and theory. The academic and practitioners' communities, however, have not always communicated as productively as would have been desirable. As a result, their research programs have often developed with little constructive interference. In this book, Riccardo Rebonato draws on his academic and professional experience, straddling both sides of the divide to bring together and build on what theory and trading have to offer. Rebonato begins by presenting the conceptual foundations for the application of the LIBOR market model to the pricing of interest-rate derivatives. Next he treats in great detail the calibration of this model to market prices, asking how possible and advisable it is to enforce a simultaneous fitting to several market observables. He does so with an eye not only to mathematical feasibility but also to financial justification, while devoting special scrutiny to the implications of market incompleteness. Much of the book concerns an original extension of the LIBOR market model, devised to account for implied volatility smiles. This is done by introducing a stochastic-volatility, displaced-diffusion version of the model. The emphasis again is on the financial justification and on the computational feasibility of the proposed solution to the smile problem. This book is must reading for quantitative researchers in financial houses, sophisticated practitioners in the derivatives area, and students of finance.

Pricing Convertible Bonds  by Kevin B. Connolly
Convertible bonds are a hybrid of bond and equity. Like a bond, they provide the holder with an income, although this is lower than on a conventional bond because the holder also has the right to buy the issuers shares at a predetermined price during the life of the bond. These instruments now appeal to a much wider range of investors. There are few works on the subject of pricing convertible bonds. Most books discussing derivative products cover all details of pricing futures and options in minute detail. Convertible bonds and warrants are usually mentioned as an afterthought in the latter chapters. This is the first book to address the very complex issue of pricing convertible bonds. Fund managers, hedge players/traders, undergraduates and post-graduates will all find this book invaluable. Easy to understand software based on Microsoft Excel spreadsheets is also supplied.
Salomon Smith Barney Guide to Mortgage-Backed and Asset-Backed Securities  edited by Lakhbir Hayre
Mortgage-backed securities (MBSs) and asset-backed securities (ABSs) are the largest sector of today’s bond market, with billions of dollars of securities traded every day. They constitute a core holding of almost all U.S. institutional fixed income investors. This authoritative book assembles recent research conducted by analysts at Salomon Smith Barney – as well as insightful analysis of this research – to provide a comprehensive, sophisticated, and unambiguous examination of today’s MBS and ABS markets. This invaluable guide is an ideal training tool and resource for investment professionals, institutional investors, pension funds, hedge funds, and all others looking for clear, concise, and complete treatment of this multifaceted subject.

Handbook of Mortgage Backed Securities  edited by Frank J. Fabozzi
The classic -- and single best -- resource for understanding and trading mortgage-backed securities gives you timely insights into everything from fundamentals to investment characteristics of mortgage-backed securities, as well as state-of-the-art strategies for capitalizing on opportunities. Seven sections bring you up to speed on mortgages and pass-through securities; stripped mortgage-backed securities and collateralized mortgage obligations; credit-sensitive mortgage-backed securities; prepayment modeling; valuation techniques, relative value analysis, and portfolio strategies; commercial mortgage-backed securities; and non-U.S. mortgage-backed securities. This fifth edition is practically a new book: twenty-nine of the chapters are either new or have been substantially revised, reflecting the most recent developments in the mortgage-backed securities market, in terms of both product development and financial technology. These entirely new sections give you a seamless transition into the 24-hour, global financial markets of the 21st century.

High Yield Bonds: Market Structure, Valuation, and Portfolio Strategies  edited by Theodore M. Barnhill
Thoroughly explores every angle of this complex market, delivering statistics, research findings, and empirical facts guaranteed to help you understand the risks and rewards of high-yield investing. More than just a theoretical treatise on lower-grade bonds, this hands-on reference shows you how to uncover issues that provide exceptional returns for acceptable risk. Examples of the discussions include: a 77-year study of corporate bond defaults that reveals patterns and correlations -- helping you intuitively judge a bond's risks; credit analysis methodologies to help you determine an issuer's weaknesses and better evaluate the 12- to 24-month prospects; simulation methodologies to identify optimally diversified portfolios. As U.S. and international institutional investors seek higher yields, and emerging companies seek new sources of capital to finance growth, the high-yield bond market will continue to grow in strength and importance.
Duration, Convexity, and Other Bond Risk Measures  by Frank J. Fabozzi
This book offers the most comprehensive coverage of bond risk measures available. Financial expert Frank Fabozzi walks you through every aspect of bond risk measures from the price volatility characteristics of option-free bonds and bonds with embedded options to the proper method for calculating duration and convexity. Whether you’re a novice trader or experienced money manager, if you need to understand the interest rate risk of a portfolio Duration, Convexity and other Bond Risk Measures  is the only book you’ll need. Lucid on all aspects of bond convexity and excellent analysis of option embedded bonds with negative convexity.

The Treasury Bond Basis: An In Depth Analysis for Hedgers, Speculators and Arbitrageurs   by Galen D. Burghardt, Terrence M. Belton, Terry Belton
The Treasury Bond Basis  provides a comprehensive and detailed discussion of the relationship between the Treasury Bond market and Treasury bond futures. Vital information such as analysis of the basis relationship between shorter term Treasure securities and Treasury bill and note futures is all here in one source. In-depth coverage includes: The forces that influence the basis; Practical considerations associated with the basis; Basis-related strategies; Strategies to enhance treasury bond yields. Belton elucidates the concepts and mechanisms underlying the treasury bond basis with eloquence and intellect. Terry Belton is acknowledged as the foremost authority on futures research, and this book bears it out. If you're thinking about basis trading, or work in the derivatives market, this book is well worth a look.


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