Fixed Income Analytics

Wolfgang Marty is a quantitative analyst of Financial Markets. He is president of the Swiss Bond Commission SFAA and a member of the Fixed Income Index Commission at the Swiss Stock Exchange. From 2016 to 2020 he was a Senior Investment Strategist at AgaNola Pfaeffikon, SZ, Switzerland. Between 1998 and 2015 he was working with Credit Suisse, where he started as Head Product Engineering. He specializes in Performance Attribution, Portfolio Optimization, and Fixed Income, in general. Prior to joining Credit Suisse Asset Management, Dr. Marty worked for UBS AG in London, Chicago, and Zurich.He started his career as an assistant for applied mathematics at the Swiss Federal Institute of Technology, where he finished his university degree in Mathematics and a doctorate from the University of Zurich. He chaired the subcommittee of the European Bond Commission (EBC) and was a member of the Index team that monitors the Liquid Swiss Index (LSI).

• Introduction.- The Time Value of Money.- The Flat Yield Curve Concept.- The Internal Rate of Return for a Bond Portfolio.- The Term Structure of Interest Rate.- Spread Analysis.- Different Fixed Income Instruments.- Fixed-Income Benchmarks.- Convertible.- Multi Currency Portfolio.- Appendices.- References.- Index.

“The basics in the study of financial instruments that promise a fixed income to the holder are concisely covered in this self-contained text. … this book could be useful to portfolio managers, investors, or anyone who wants to initiate or continue a comprehensive study of financial instruments.” (Hernando Burgos-Soto, zbMATH 1482.91004, 2022)