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Introduction 1 (6)
PART 1 TIME VALUE OF MONEY
Future Value 7 (12)
Present Value 19 (15)
Yield (Internal Rate of Return) 34 (13)
PART II BOND PRICING AND YIELD MEASURES FOR
OPTION-FREE BONDS
The Price of a Bond 47 (26)
Conventional Yield Measures for Bonds 73 (20)
The Yield Curve, Spot Rate Curve, and Forward 93 (22)
Rates
PART III RETURN ANALYSIS
Potential Sources of Dollar Return 115(14)
Total Return 129(24)
Measuring Historical Performance 153(12)
PART IV PRICE VOLATILITY FOR OPTION-FREE BONDS
Price Volatility of Option-Free Bonds 165(13)
Price Volatility Measures: PVBP and YV of a 178(9)
Price Change
Price Volatility Measures: Duration 187(32)
Price Volatility Measures: Convexity 219(24)
Duration and the Yield Curve 243(14)
PART V ANALYZING BONDS WITH EMBEDDED OPTIONS
Call Options: Investment and Price 257(17)
Characteristics
Valuation and Price Volatility of Bonds with 274(29)
Embedded Options
PART VI ANALYZING MORTGAGE-BACKED SECURITIES
Cash flow Characteristics of Mortgages 303(19)
Cash Flow Characteristics of Mortgage-Backed 322(34)
Securities
Analysis of Mortgage-Backed Securities 356(21)
PART VII STATISTICAL AND OPTIMIZATION TECHNIQUES
Probability Theory 377(26)
Simulation 403(16)
Regression Analysis 419(16)
Optimization Models 435(8)
Index 443

"Fixed Income Mathematics" has established itself as an indispensable reference source for fixed income professionals. No other book provides such a comprehensive and authoritative overview of the analytical tools used to value bonds and measure price and yield behavior. The third edition has been substantially revised to reflect new developments in the field, including the introduction of more complex instruments and new methods to assess risk. Building from basic concepts to advanced techniques, "Fixed Income Mathematics" provides market professionals with all the information they need to evaluate any fixed income security and build and manage a fixed income portfolio. The topics include: The time value of money; Bond pricing and return analysis; The yield curve and its application to pricing and duration; and Analyzing complex bonds.

"Fixed Income Mathematics" has established itself as an indispensable reference source for fixed income professionals. No other book provides such a comprehensive and authoritative overview of the analytical tools used to value bonds and measure price and yield behavior. The third edition has been substantially revised to reflect new developments in the field, including the introduction of more complex instruments and new methods to assess risk. Building from basic concepts to advanced techniques, "Fixed Income Mathematics" provides market professionals with all the information they need to evaluate any fixed income security and build and manage a fixed income portfolio. The topics include: The time value of money; Bond pricing and return analysis; The yield curve and its application to pricing and duration; and Analyzing complex bonds.