Fixed Income Securities
Tools for Today's Markets, University Edition
3rd Edition
Published on 11. October 2011
656 pages
978-1-118-13399-6 (ISBN)
Description
Fixed income practitioners need to understand the conceptualframeworks of their field; to master its quantitative tool-kit; andto be well-versed in its cash-flow and pricing conventions.Fixed Income Securities, Third Edition by Bruce Tuckman andAngel Serrat is designed to balance these three objectives. Thebook presents theory without unnecessary abstraction; quantitativetechniques with a minimum of mathematics; and conventions at auseful level of detail.
The book begins with an overview of global fixed income marketsand continues with the fundamentals, namely, arbitrage pricing,interest rates, risk metrics, and term structure models to pricecontingent claims. Subsequent chapters cover individual markets andsecurities: repo, rate and bond forwards and futures, interest rateand basis swaps, credit markets, fixed income options, andmortgage-backed-securities.
Fixed Income Securities, Third Edition is full ofexamples, applications, and case studies. Practically everyquantitative concept is illustrated through real market data. Thispractice-oriented approach makes the book particularly useful forthe working professional.
This third edition is a considerable revision and expansion ofthe second. Most examples have been updated. The chapters on fixedincome options and mortgage-backed securities have beenconsiderably expanded to include a broader range of securities andvaluation methodologies. Also, three new chapters have been added:the global overview of fixed income markets; a chapter on corporatebonds and credit default swaps; and a chapter on discounting withbases, which is the foundation for the relatively recent practiceof discounting swap cash flows with curves based on money marketrates.
This university edition includes problems which students canuse to test and enhance their understanding of the text.
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Persons
Bruce Tuckman holds a PhD in economics from MIT and beganhis career as a professor of finance at New York University's SternSchool of Business. Moving to the industry, he became a managingdirector at Salomon Brothers' Fixed Income Proprietary TradingGroup; ran research groups at Credit Suisse and Lehman Brothers;and, for the Prime Services Division at Barclays Capital, wasglobal head of research and an executive committee member. He isnow the Director of Financial Markets Research at the Center forFinancial Stability, a think tank in New York.
Angel Serrat holds a PhD in finance from MIT. Prior tojoining the industry, he was a member of the finance faculty at TheUniversity of Chicago's Graduate School of Business. He haspublished in journals including The Review of Economic Studies, TheReview of Financial Studies, and Econometrica. He was an executivedirector of strategy groups at Goldman Sachs and Credit Suisse, andlater became a managing director at JPMorgan's global proprietarypositioning business as a portfolio manager and head of strategy.He is currently a partner at Capula Investment Management, a fixedincome asset management firm.
Content
Preface to the Third Edition xi
Acknowledgments xiii
An Overview of Global Fixed Income Markets 1
PART ONE The Relative Pricing of Securities with FixedCash 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 Hedging119
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 Hedging171
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 TermStructure 229
CHAPTER 9 The Art of Term Structure Models: Drift 251
CHAPTER 10 The Art of Term Structure Models: Volatility andDistribution 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 Discounting457
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
