- Item type
- Book
- Language
- English
- Publication year
- 2011
- Edition no.
- 3rd ed.
- ISBN
- 978-0-470-90403-9
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. description from publisher.
Preface to the third edition --- Acknowledgments --- An overview of global fixed income markets --- PART ONE THE RELATIVE PRICING OF SECURITIES WITH FIXED CASH FLOWS --- Chapter 1. Prices, discount factors, and arbitrage --- Chapter 2 Spot, forward, and par rates --- Chapter 3 Returns, spreads, and yields --- PART TWO MEASURES OF INTEREST RATE RISK AND HEDGING --- Chapter 4 One-factor risk metrics and hedges --- Chapter 5 Multi-factor risk metrics and hedges --- Chapter 6 Empirical approaches to risk metrics and hedging --- PART THREE TERM STRUCTURE MODELS ---Chapter 7 The science of term structure models --- Chapter 8 The evolution of short rates and the shape of the term structure --- Chapter 9 The art of term structure models: drift --- Chapter 10 The art of term structure models: volatility and distribution --- Chapter 11 The Gauss + and LIBOR market models --- PART FOUR SELECTED SECURITIES AND TOPICS --- Chapter 12 Repurchase agreements and financing --- Chapter 13 Forwards and futures: preliminaries --- Chapter 14 Note and bond futures --- Chapter 15 Short-term rates and their derivatives --- Chapter 16 Swaps --- Chapter 17 Arbitrage with financing and two-curve discounting --- Chapter 18 Fixed income options --- Chapter 19 Corporate bonds and credit default swaps --- Chapter 20 Mortgages and mortgage-backed securities --- Chapter 21 Curve construction --- References --- Exercises --- Index..
