Fixed Income Securities : Tools for Today's Markets

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  • Edition: 3rd
  • Format: Hardcover
  • Copyright: 11/8/2011
  • Publisher: Wiley
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Fixed-income securities traditionally promised fixed cash flows (like bonds), but there have been many newly-created fixed income securities for which the promised cash flows depend on the level of interest rates, making them hard to value. This revised book covers the most advanced thinking in the field and comprehensively shows how to value the complete universe of fixed income securities. Included are all the latest fixed income securities valuation models and techniques, and their applications in real world situations. The third edition will also include two new chapters dedicated to foreign exchange markets and corporate bonds and credit-default swaps.

Author Biography

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.

Table of Contents

Preface to the Third Editionp. xi
Acknowledgmentsp. xiii
An Overview of Global Fixed Income Marketsp. 1
The Relative Pricing of Securities with Fixed Cash Flowsp. 47
Prices, Discount Factors, and Arbitragep. 51
Spot, Forward, and Par Ratesp. 69
Returns, Spreads, and Yieldsp. 95
Measures of Interest Rate Risk and Hedgingp. 119
One-Factor Risk Metrics and Hedgesp. 123
Multi-Factor Risk Metrics and Hedgesp. 153
Empirical Approaches to Risk Metrics and Hedgingp. 171
Term Structure Modelsp. 201
The Science of Term Structure Modelsp. 207
The Evolution of Short Rates and the Shape of the Term Structurep. 229
The Art of Term Structure Models: Driftp. 251
The Art of Term Structure Models: Volatility and Distributionp. 275
The Gauss+ and LIBOR Market Modelsp. 287
Selected Securities and Topicsp. 325
Repurchase Agreements and Financingp. 327
Forwards and Futures: Preliminariesp. 351
Note and Bond Futuresp. 373
Short-Term Rates and Their Derivativesp. 401
Swapsp. 435
Arbitrage with Financing and Two-Curve Discountingp. 457
Fixed income Optionsp. 483
Corporate Bonds and Credit Default Swapsp. 527
Mortgages and Mortgage-Backed Securitiesp. 563
Curve Constructionp. 591
Referencesp. 607
Indexp. 609
Table of Contents provided by Ingram. All Rights Reserved.

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