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Fixed Income Securities: Tools for Today's Markets, 3rd Edition, University Edition


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 Mattu, Managing 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 Ramaswamy, Edward 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 Pantazopoulos, Global Head of Interest Rate Products, Goldman Sachs

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.

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

Exercises 609

Index 623