BRUCE TUCKMAN is a Clinical Professor of Finance at New York University’s Stern School of Business, where he teaches fixed income and derivatives to undergraduates and MBAs. He ran research groups as a Managing Director at major investment banks for 15 years and recently served as Chief Economist of the Commodity Futures Trading Commission. He received his PhD in Economics from MIT.

ANGEL SERRAT is Head of Quantitative Investments at the fixed income department of Abu Dhabi Investment Authority (ADIA). He started an academic career at the University of Chicago and moved to industry in 1999. He held strategy and trading positions at Goldman Sachs, JP Morgan, and Capula Investment Management, where he was a partner and Chief Strategist. He holds a PhD from MIT.

Preface

Overview

Chapter 1  Prices, Discount Factors, and Arbitrage

Chapter 2 Swap, Spot, and Forward Rates

Chapter 3 Returns, Yields, Spreads, and P&L Attribution

Chapter 4 DV01, Duration, and Convexity

Chapter 5 Key-Rate-, Partial-, and Forward-Bucket '01s and Durations

Chapter 6 Regression Hedging and Principal Component Analysis

Chapter 7 Arbitrage Pricing with Term Structure Models

Chapter 8 Expectations, Risk Premium, Convexity, and the Shape of the Term Structure

Chapter 9 The Vasicek and Gauss+ Models

Chapter 10 Repurchase Agreements and Financing

Chapter 11 Note and Bond Futures

Chapter 12 Short-Term Rates and Their Derivatives

Chapter 13 Interest Rate Swaps

Chapter 14 Corporate Debt and Credit Default Swaps

Chapter 15 Mortgages and Mortgage-Backed Securities

Chapter 16 Fixed Income Options

Appendices

Index

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