Fixed Income Securities: Tools for Todays Markets

Praise For
Fixed Income Securities
"Fixed Income Securities is excellent, seamlessly combining theory and experience to make the global fixed–income markets come alive for students and practitioners. It is obvious that the authors not only understand and articulate theory with ease, but also enjoy its application to myriad simple and complicated instruments."
—Myron Scholes 1997 Nobel Laureate in Economics; Frank E. Buck Professor of Finance, Emeritus, Graduate School of Business, Stanford University
"It takes authors who have both insight into financial economics and a thorough understanding of how markets function to write a book that integrates theory and practice so effortlessly. As market turmoil forces us to revisit historical relationships, the book′s setting of applications and data in the context of sound theory is particularly useful."
—Ravi MattuManaging Director and Head of Analytics, PIMCO
"Fixed Income Securities conveys intuition, is full of examples, and is comprehensive in its coverage.Professionals will find valuable insights in the authors′ treatment of advanced topics; students will value the careful organization and presentation of ideas. I recommend it very highly indeed."
—Krishna RamaswamyEdward Hopkinson, Jr., Professor of Investment Banking, The Wharton School, University of Pennsylvania
"This is a great reference book for fixed income students and practitioners alike, which seamlessly combines mathematical concepts with practical applications."
—Kostas PantazopoulosGlobal Head of Interest Rate Products, Goldman Sachs

Spis treści:
Preface to the Third Edition xi
Acknowledgments xiii
An Overview of Global Fixed Income Markets 1
PART ONE The Relative Pricing of Securities with Fixed Cash 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 Hedging 119
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 Hedging 171
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 Term Structure 229
CHAPTER 9 The Art of Term Structure Models: Drift 251
CHAPTER 10 The Art of Term Structure Models: Volatility and Distribution 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 Discounting 457
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
Index 609

Nota biograficzna:

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 o f 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.

Okładka tylna:

Praise For
Fixed Income Securities
"Fixed Income Securities is excellent, seamlessly combining theory and experience to make the global fixed–income markets come alive for students and practitioners. It is obvious that the authors not only understand and articulate theory with ease, but also enjoy its application to myriad simple and complicated instruments."
—Myron Scholes 1997 Nobel Laureate in Economics; Frank E. Buck Professor of Finance, Emeritus, Graduate School of Business, Stanford University
"It takes authors who have both insight into financial economics and a thorough understanding of how markets function to write a book that integrates theory and practice so effortlessly. As market turmoil forces us to revisit historical relationships, the book′s setting of applications and data in the context of sound theory is particularly useful."
—Ravi MattuManaging Director and Head of Analytics, PIMCO
"Fixed Income Securities conveys intuition, is full of examples, and is comprehensive in its coverage.Professionals will find valuable insights in the authors′ treatment of advanced topics; students will value the careful organization and presentation of ideas. I recommend it very highly indeed."
—Krishna RamaswamyEdward Hopkinson, Jr., Professor of Investment Banking, The Wharton School, University of Pennsylvania
"This is a great reference book for fixed income students and practitioner s alike, which seamlessly combines mathematical concepts with practical applications."
—Kostas PantazopoulosGlobal Head of Interest Rate Products, Goldman Sachs