Praise for Fixed Income Securities, Second Edition "What distinguishes this book from many others on the subject is that Tuckman has skillfully combined intuitive rationale with mathematical analysis to give readers a clear and deep understanding of the market. Tuckman has written a comprehensive reference book that should be found on the desks of both seasoned practitioners and novices alike." Gerald Lucas, Senior Government Strategist, Director, Global Securities Research, Merrill Lynch "This outstanding book offers a well-written and clear tutorial for many of the cutting-edge analytical techniques and models used in practice. Combines a wealth of institutional knowledge, practical tools, and realistic examples, while giving a clear understanding of the underlying theory." Francis Longstaff, Professor of Finance, The Anderson School at UCLA "An excellent reference for anyone intending to bridge the gap between financial mathematics theory and the practice of financial markets." Marek Musiela, BNP Paribas "This is an extremely readable book with a balance between technical detail and practical application. Unlike other books in the area, thorough and tightly knit chapters reflect Tuckman s unique background as a well-respected academic and market participant." Tony D. Kao, Managing Director, Global Fixed Income GM Asset Management
作者簡介
BRUCE TUCKMAN, PhD, is a Managing Director in the Fixed Income and Derivatives Division of Credit Suisse First Boston. After receiving his doctorate in economics from MIT, he became a professor of finance at New York University’s Stern School of Business
圖書目錄
INTRODUCTION ACKNOWLEDGMENTS PART ONE: The Relative Pricing of Fixed Income Securities with Fixed Cash Flows CHAPTER 1: Bond Prices, Discount Factors, and Arbitrage CHAPTER 2: Bond Prices, Spot Rates, and Forward Rates CHAPTER 3: Yield-to-Maturity CHAPTER 4: Generalizations and Curve Fitting PART TWO: Measures of Price Sensitivity and Hedging. CHAPTER 5: One-Factor Measures of Price Sensitivity CHAPTER 6: Measures of Price Sensitivity Based on Parallel Yield Shifts CHAPTER 7: Key Rate and Bucket Exposures CHAPTER 8: Regression-Based Hedging PART THREE: Term Structure Models CHAPTER 9: The Science of Term Structure Models CHAPTER 10: The Short-Rate Process and the Shape of the Term Structure CHAPTER 11: The Art of Term Structure Models: Drift CHAPTER 12: The Art of Term Structure Models: Volatility and Distribution CHAPTER 13: Multi-Factor Term Structure Models CHAPTER 14: Trading with Term Structure Models PART FOUR: Selected Securities CHAPTER 15: Repo CHAPTER 16: Forward Contracts CHAPTER 17: Eurodollar and Fed Funds Futures CHAPTER 18: Interest Rate Swaps CHAPTER 19: Fixed Income Options CHAPTER 20: Note and Bond Futures CHAPTER 21: Mortgage-Backed Securities EXERCISES REFERENCES AND SUGGESTIONS FOR FURTHER READING INDEX