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seeking a good bond book

Joined
6/26/08
Messages
8
Points
11
Ok I'm an actuary and will be graduating in December and get a job shortly after. I plan on contributing 25% of my salary(more as I accumulate raises) in accuiring assets. Half I will put in a mutual fund, and the other half I will put in my own bond/credit securities portfolio. I plan on learning as much as possible from now until then about bond investment. Currently I have knowledge in investment mathematics(interest theory), options pricing, bond pricing, different types of stochastic models(brownian motion), pricing via arbitrage, etc.

I am looking for 2 or more books that cover the following topics in debt securities investment:

1nd book: Covers in depth how to manage a debt securities portfolio. Lots of Mathematics is fine. Some things I'm hoping it will cover:
1.) Interest rate models, inflation models, as well as forecasting interest and inflation via information about the economy, finding under priced bonds.
2.) Statistical and probabilty analysis of probability of default.
3.)Investment strategies, like when to liquidate a bond or to hold till maturity (this would be the equivalent of optimal early exercise on American dividend stock option)
4.) How to reinvest interest payments for maximum yield and minimal taxation and transaction costs.
5.) Minimizing taxation and transaction costs, this is huge.
6.) Using various derivatives for higher yield and/or minimizing portfolio risk.
7.) Aribtrage boundaries of bonds, finding aribtrage opportunities
8.) Portfolio management for optimal performance.
9.) Overall covers every aspect of managing a debt securities portfolio for maximum yield in theory and practice.


2st book: Covers the very basics of what investing in the bond markets is like. Describes the various different types of bonds, synthetics, advantages of the different types, taxation laws on bonds and overall just the first book you would recommend to someone who wants to get started in investing in bonds. Not a "investing in bonds for dummies book" but more like a "Investing in bonds for a 2nd year graduate student in financial engineering".
 
Bruce Tuckman's books

I'd definitely check out Bruce Tuckman's books. They are clear and concise and it's one of the better Fixed Income books. Another is the Fobbanici (spelling?) book.
 
Frank Fabozzi is his name.

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