Bruce Tuckman, Angel Serrat

Fixed Income Securities (eBook, ePUB)

Tools for Today's Markets

• Format: ePub

Produktbeschreibung

Build or brush up on the foundation you need to be a sophisticated fixed income professional with this proven book Fixed Income Securities: Tools for Today's Markets has been a valued resource for practitioners and students for over 25 years. Clearly written, and drawing on a myriad of real market examples, it presents an overview of fixed income markets; explains the conceptual frameworks and quantitative tool kits used in the industry for pricing and hedging; and examines a wide range of fixed income instruments and markets, including: government bonds; interest rate swaps; repurchase agreements; interest rate futures; note and bond futures; bond options and swaptions; corporate bonds; credit default swaps; and mortgages and mortgage-backed securities. Appearing a decade after its predecessor, this long-awaited Fourth Edition is comprehensively revised with: * An up-to-date overview, including monetary policy with abundant reserves and the increasing electronification of market * All new examples, applications, and case studies, including lessons from market upheavals through the pandemic * New material on fixed income asset management * The global transition from LIBOR to SOFR and other rates

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Produktdetails

• Verlag: John Wiley & Sons
• Seitenzahl: 560
• Erscheinungstermin: 26. August 2022
• Englisch
• ISBN-13: 9781119835592
• Artikelnr.: 65616551

Autorenporträt

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.

Inhaltsangabe

Preface ix

List of Acronyms xi

Chapter 0 Overview 1

Chapter 1 Prices, Discount Factors, and Arbitrage 49

Chapter 2 Swap, Spot, and Forward Rates 65

Chapter 3 Returns, Yields, Spreads, and P&L Attribution 79

Chapter 4 DV01, Duration, and Convexity 103

Chapter 5 Key-Rate, Partial, and Forward-Bucket '01s and Durations 135

Chapter 6 Regression Hedging and Principal Component Analysis 153

Chapter 7 Arbitrage Pricing with Term Structure Models 177

Chapter 8 Expectations, Risk Premium, Convexity, and the Shape of the Term Structure 197

Chapter 9 The Vasicek and Gauss+ Models 205

Chapter 10 Repurchase Agreements and Financing 223

Chapter 11 Note and Bond Futures 249

Chapter 12 Short-Term Rates and Their Derivatives 289

Chapter 13 Interest Rate Swaps 319

Chapter 14 Corporate Debt and Credit Default Swaps 347

Chapter 15 Mortgages and Mortgage-Backed Securities 395

Chapter 16 Fixed Income Options 433

Appendix to Chapter 1 Prices, Discount Factors, and Arbitrage 453

Appendix to Chapter 2 Swap, Spot, and Forward Rates 457

Appendix to Chapter 3 Returns, Yields, Spreads, and P&L Attribution 463

Appendix to Chapter 4 DV01, Duration, and Convexity 467

Appendix to Chapter 6 Regression Hedging and Principal Component Analysis 469

Appendix to Chapter 8 Expectations, Risk Premium, Convexity and the Shape of the Term Structure 477

Appendix to Chapter 9 The Vasicek and Gauss+ Models 479

Appendix to Chapter 11 Note and Bond Futures 491

Appendix to Chapter 12 Short-Term Rates and Their Derivatives 497

Appendix to Chapter 13 Interest Rate Swaps 501

Appendix to Chapter 14 Corporate Debt and Credit Default Swaps 505

Appendix to Chapter 15 Mortgages and Mortgage-Backed Securities 509

Appendix to Chapter 16 Fixed Income Options 513

About the Website 527

Index 529