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Fixed income practitioners need to understand the conceptualframeworks of their field; to master its quantitative tool-kit; andto be well-versed in its cash-flow and pricing conventions.Fixed Income Securities, Third Edition by Bruce Tuckman andAngel Serrat is designed to balance these three objectives. Thebook presents theory without unnecessary abstraction; quantitativetechniques with a minimum of mathematics; and conventions at auseful level of detail. The book begins with an overview of global fixed income marketsand continues with the fundamentals, namely, arbitrage pricing,interest…mehr
Fixed income practitioners need to understand the conceptualframeworks of their field; to master its quantitative tool-kit; andto be well-versed in its cash-flow and pricing conventions.Fixed Income Securities, Third Edition by Bruce Tuckman andAngel Serrat is designed to balance these three objectives. Thebook presents theory without unnecessary abstraction; quantitativetechniques with a minimum of mathematics; and conventions at auseful level of detail. The book begins with an overview of global fixed income marketsand continues with the fundamentals, namely, arbitrage pricing,interest rates, risk metrics, and term structure models to pricecontingent claims. Subsequent chapters cover individual markets andsecurities: repo, rate and bond forwards and futures, interest rateand basis swaps, credit markets, fixed income options, andmortgage-backed-securities. Fixed Income Securities, Third Edition is full ofexamples, applications, and case studies. Practically everyquantitative concept is illustrated through real market data. Thispractice-oriented approach makes the book particularly useful forthe working professional. This third edition is a considerable revision and expansion ofthe second. Most examples have been updated. The chapters on fixedincome options and mortgage-backed securities have beenconsiderably expanded to include a broader range of securities andvaluation methodologies. Also, three new chapters have been added:the global overview of fixed income markets; a chapter on corporatebonds and credit default swaps; and a chapter on discounting withbases, which is the foundation for the relatively recent practiceof discounting swap cash flows with curves based on money marketrates. [FOR THE UNIVERSITY EDITION] This university edition includes problems which students can useto test and enhance their understanding of the text.
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BRUCE TUCKMAN holds a PhD in economics from MIT and began his career as a professor of finance at New York University's Stern School of Business. Moving to the industry, he became a managing director at Salomon Brothers' Fixed Income Proprietary Trading Group; ran research groups at Credit Suisse and Lehman Brothers; and, for the Prime Services Division at Barclays Capital, was global head of research and an executive committee member. He is now a Clinical Professor of Finance at the Stern School of Business. ANGEL SERRAT holds a PhD in finance from MIT. Prior to joining the industry, he was a member of the finance faculty at The University of Chicago's Booth School of Business. He has published in journals including the Review of Economic Studies, the Review of Financial Studies, and Econometrica. He was an executive director of strategy groups at Goldman Sachs and Credit Suisse, and later became a managing director at JPMorgan's global proprietary positioning business as a portfolio manager and head of strategy. He is currently a partner at Capula Investment Management, a fixed income asset management firm.
Preface to the Third Edition xi Acknowledgments xiii An Overview of Global Fixed Income Markets 1 PART ONE The Relative Pricing of Securities with Fixed Cash Flows 47 CHAPTER 1 Prices Discount Factors and Arbitrage 51 CHAPTER 2 Spot Forward and Par Rates 69 CHAPTER 3 Returns Spreads and Yields 95 PART TWO Measures of Interest Rate Risk and Hedging 119 CHAPTER 4 One-Factor Risk Metrics and Hedges 123 CHAPTER 5 Multi-Factor Risk Metrics and Hedges 153 CHAPTER 6 Empirical Approaches to Risk Metrics and Hedging 171 PART THREE Term Structure Models 201 CHAPTER 7 The Science of Term Structure Models 207 CHAPTER 8 The Evolution of Short Rates and the Shape of the Term Structure 229 CHAPTER 9 The Art of Term Structure Models: Drift 251 CHAPTER 10 The Art of Term Structure Models: Volatility and Distribution 275 CHAPTER 11 The Gauss+ and LIBOR Market Models 287 PART FOUR Selected Securities and Topics 325 CHAPTER 12 Repurchase Agreements and Financing 327 CHAPTER 13 Forwards and Futures: Preliminaries 351 CHAPTER 14 Note and Bond Futures 373 CHAPTER 15 Short-Term Rates and Their Derivatives 401 CHAPTER 16 Swaps 435 CHAPTER 17 Arbitrage with Financing and Two-Curve Discounting 457 CHAPTER 18 Fixed Income Options 483 CHAPTER 19 Corporate Bonds and Credit Default Swaps 527 CHAPTER 20 Mortgages and Mortgage-Backed Securities 563 CHAPTER 21 Curve Construction 591 References 607 Exercises 609 Index 623
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