Fixed income practitioners need to understand the conceptual frameworks of their field; to master its quantitative tool-kit; and to be well-versed in its cash-flow and pricing conventions. Fixed Income Securities, Third Edition by Bruce Tuckman and Angel Serrat is designed to balance these three objectives. The book presents theory without unnecessary abstraction; quantitative techniques with a minimum of mathematics; and conventions at a useful level of detail. The book begins with an overview of global fixed income markets and continues with the fundamentals, namely, arbitrage pricing, interest rates, risk metrics, and term structure models to price contingent claims. Subsequent chapters cover individual markets and securities: repo, rate and bond forwards and futures, interest rate and basis swaps, credit markets, fixed income options, and mortgage-backed-securities. Fixed Income Securities, Third Edition is full of examples, applications, and case studies. Practically every quantitative concept is illustrated through real market data. This practice-oriented approach makes the book particularly useful for the working professional. This third edition is a considerable revision and expansion of the second. Most examples have been updated. The chapters on fixed income options and mortgage-backed securities have been considerably expanded to include a broader range of securities and valuation methodologies. Also, three new chapters have been added: the global overview of fixed income markets; a chapter on corporate bonds and credit default swaps; and a chapter on discounting with bases, which is the foundation for the relatively recent practice of discounting swap cash flows with curves based on money market rates. This university edition includes problems which students can use to test and enhance their understanding of the text.
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Fixed income practitioners need to understand the conceptual frameworks of their field; to master its quantitative tool-kit; and to be well-versed in its cash-flow and pricing conventions. Fixed Income Securities, Third Edition by Bruce Tuckman and Angel Serrat is designed to balance these three objectives.
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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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Praise For Fixed Income Securities "Fixed Income Securities is excellent, seamlessly combining theory and experience to make the global fixed-income markets come alive for students and practitioners. It is obvious that the authors not only understand and articulate theory with ease, but also enjoy its application to myriad simple and complicated instruments." —Myron Scholes, 1997 Nobel Laureate in Economics; Frank E. Buck, Professor of Finance, Emeritus, Graduate School of Business, Stanford University "It takes authors who have both insight into financial economics and a thorough understanding of how markets function to write a book that integrates theory and practice so effortlessly. As market turmoil forces us to revisit historical relationships, the book's setting of applications and data in the context of sound theory is particularly useful." —Ravi Mattu, Managing Director and Head of Analytics, PIMCO "Fixed Income Securities conveys intuition, is full of examples, and is comprehensive in its coverage. Professionals will find valuable insights in the authors' treatment of advanced topics; students will value the careful organization and presentation of ideas. I recommend it very highly indeed. —Krishna Ramaswamy, Edward Hopkinson, Jr., Professor of Investment Banking, The Wharton School, University of Pennsylvania "This is a great reference book for fixed income students and practitioners alike, which seamlessly combines mathematical concepts with practical applications." —Kostas Pantazopoulos, Global Head of Interest Rate Products, Goldman Sachs
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Produktdetaljer

ISBN
9780470904039
Publisert
2011-12-16
Utgave
3. utgave
Utgiver
Vendor
John Wiley & Sons Inc
Vekt
771 gr
Høyde
226 mm
Bredde
150 mm
Dybde
46 mm
Aldersnivå
P, 06
Språk
Product language
Engelsk
Format
Product format
Heftet
Antall sider
656

Biographical note

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 the Director of Financial Markets Research at the Center for Financial Stability, a think tank in New York.

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 Graduate 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.