Rent 9780470891698 | Fixed Income Securities : Tools for Today's Markets | Tuckman, Bruce; Serrat, Angel @knetbooks.com

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Summary Table of Contents Author Biography

An up-to-date look at the most important issues surrounding fixed income securities Fixed-income securities traditionally promised fixed cash flows (like bonds), but with recent innovations in this field, including products for which the promised cash flows depend on the level of interest rates, a new understanding of this subject is needed. Thats why Bruce Tuckman and Angel Serrat have returned to create the Third Edition of Fixed Income Securities. Considered the go-to-guide for information on fixed income securities, this latest edition cove... MORErs 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, as well as expert insights on their applications in real-world situations. The Third Edition also contains two new chapters dedicated to foreign exchange markets and corporate bonds, and credit-default swaps. Reflects the most current thinking on valuation and modeling of fixed income securities Includes examples, applications, and case studies to illustrate the practical uses of difficult concepts Follows a modern approach to fixed income application and risk control A companion Workbook is also available so you can hone your skills and test the knowledge youve gained from the actual text Fixed Income Securities, Third Edition approaches a theoretically demanding field from the working professionals point of view. From swaps and options to spreads of spreads and basis trades, this hands-on guide goes straight to the heart of fixed income knowledge and provides a template for trading and investing in the twenty-first-century marketplace.

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.

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 Scholes1997 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 books 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

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.

Preface to the Third Edition	p. xi
Acknowledgments	p. xiii
An Overview of Global Fixed Income Markets	p. 1
The Relative Pricing of Securities with Fixed Cash Flows	p. 47
Prices, Discount Factors, and Arbitrage	p. 51
Spot, Forward, and Par Rates	p. 69
Returns, Spreads, and Yields	p. 95
Measures of Interest Rate Risk and Hedging	p. 119
... MOREOne-Factor Risk Metrics and Hedges	p. 123
Multi-Factor Risk Metrics and Hedges	p. 153
Empirical Approaches to Risk Metrics and Hedging	p. 171
Term Structure Models	p. 201
The Science of Term Structure Models	p. 207
The Evolution of Short Rates and the Shape of the Term Structure	p. 229
The Art of Term Structure Models: Drift	p. 251
The Art of Term Structure Models: Volatility and Distribution	p. 275
The Gauss+ and LIBOR Market Models	p. 287
Selected Securities and Topics	p. 325
Repurchase Agreements and Financing	p. 327
Forwards and Futures: Preliminaries	p. 351
Note and Bond Futures	p. 373
Short-Term Rates and Their Derivatives	p. 401
Swaps	p. 435
Arbitrage with Financing and Two-Curve Discounting	p. 457
Fixed income Options	p. 483
Corporate Bonds and Credit Default Swaps	p. 527
Mortgages and Mortgage-Backed Securities	p. 563
Curve Construction	p. 591
References	p. 607
Index	p. 609
Table of Contents provided by Ingram. All Rights Reserved.

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.

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