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Fixed Income Securities
Tools for Today's Markets
Bruce Tuckman (Author), Angel Serrat (Author)
9781119835554, Wiley
Hardback, published 29 August 2022
560 pages
23.1 x 16 x 3.8 cm, 0.771 kg
Build or brush up on the foundation you need to be a sophisticated fixed income professional with this proven book Fixed Income Securities: Tools for Today’s Markets has been a valued resource for practitioners and students for over 25 years. Clearly written, and drawing on a myriad of real market examples, it presents an overview of fixed income markets; explains the conceptual frameworks and quantitative tool kits used in the industry for pricing and hedging; and examines a wide range of fixed income instruments and markets, including: government bonds; interest rate swaps; repurchase agreements; interest rate futures; note and bond futures; bond options and swaptions; corporate bonds; credit default swaps; and mortgages and mortgage-backed securities. Appearing a decade after its predecessor, this long-awaited Fourth Edition is comprehensively revised with:
Preface ix List of Acronyms xi Chapter 0 Overview 1 Chapter 1 Prices, Discount Factors, and Arbitrage 49 Chapter 2 Swap, Spot, and Forward Rates 65 Chapter 3 Returns, Yields, Spreads, and P&L Attribution 79 Chapter 4 DV01, Duration, and Convexity 103 Chapter 5 Key-Rate, Partial, and Forward-Bucket ‘01s and Durations 135 Chapter 6 Regression Hedging and Principal Component Analysis 153 Chapter 7 Arbitrage Pricing with Term Structure Models 177 Chapter 8 Expectations, Risk Premium, Convexity, and the Shape of the Term Structure 197 Chapter 9 The Vasicek and Gauss+ Models 205 Chapter 10 Repurchase Agreements and Financing 223 Chapter 11 Note and Bond Futures 249 Chapter 12 Short-Term Rates and Their Derivatives 289 Chapter 13 Interest Rate Swaps 319 Chapter 14 Corporate Debt and Credit Default Swaps 347 Chapter 15 Mortgages and Mortgage-Backed Securities 395 Chapter 16 Fixed Income Options 433 Appendix to Chapter 1 Prices, Discount Factors, and Arbitrage 453 Appendix to Chapter 2 Swap, Spot, and Forward Rates 457 Appendix to Chapter 3 Returns, Yields, Spreads, and P&L Attribution 463 Appendix to Chapter 4 DV01, Duration, and Convexity 467 Appendix to Chapter 6 Regression Hedging and Principal Component Analysis 469 Appendix to Chapter 8 Expectations, Risk Premium, Convexity and the Shape of the Term Structure 477 Appendix to Chapter 9 The Vasicek and Gauss+ Models 479 Appendix to Chapter 11 Note and Bond Futures 491 Appendix to Chapter 12 Short-Term Rates and Their Derivatives 497 Appendix to Chapter 13 Interest Rate Swaps 501 Appendix to Chapter 14 Corporate Debt and Credit Default Swaps 505 Appendix to Chapter 15 Mortgages and Mortgage-Backed Securities 509 Appendix to Chapter 16 Fixed Income Options 513 About the Website 527 Index 529
Subject Areas: Finance & accounting [KF]
