Fixed income securities : tools for today's markets / Bruce Tuckman ; Angel Serrat

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Fixed income securities : tools for today's markets / Bruce Tuckman ; Angel Serrat

Book

Tuckman, Bruce. Author | Serrat, Angel

Published by Wiley - 2011 , 3rd ed.

Library: Paris Champerret

Source : Syracuse

Item type: Book
Language: English

Publication year: 2011
Edition no.: 3rd ed.

ISBN: 978-0-470-90403-9

Note

Figures, tables

This book presents 3 objectives : 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. The text 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. Full of examples, applications, and case studies.

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