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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.
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 Edition
An Overview of Global Fixed Income Markets
The Relative Pricing of Securities with Fixed Cash Flows
Prices, Discount Factors, and Arbitrage
Spot, Forward, and Par Rates
Returns, Spreads, and Yields
Measures of Interest Rate Risk and Hedging
One-Factor Risk Metrics and Hedges
Multi-Factor Risk Metrics and Hedges
Empirical Approaches to Risk Metrics and Hedging
Term Structure Models
The Science of Term Structure Models
The Evolution of Short Rates and the Shape of the Term Structure
The Art of Term Structure Models: Drift
The Art of Term Structure Models: Volatility and Distribution
The Gauss+ and LIBOR Market Models
Selected Securities and Topics
Repurchase Agreements and Financing
Forwards and Futures: Preliminaries
Note and Bond Futures
Short-Term Rates and Their Derivatives
Arbitrage with Financing and Two-Curve Discounting
Fixed income Options
Corporate Bonds and Credit Default Swaps
Mortgages and Mortgage-Backed Securities
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