Fixed Income Securities : Tools for Today's Markets

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Summary: 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 prici.

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Fixed IncomeSecurities; Contents; 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 ModelsCHAPTER 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 OptionsCHAPTER 19 Corporate Bonds and Credit Default Swaps; CHAPTER 20Mortgages and Mortgage-Backed Securities; CHAPTER 21 Curve Construction; References; Index