Fixed income securities : tools for today's markets /
Tuckman, Bruce,
Fixed income securities : tools for today's markets / Bruce Tuckman, Angel Serrat. - 4th ed. - New Jersey: Wiley, 2022. - xiii, 542 pages ; 24 cm.
Includes bibliographical references and index.
Prices, Discount Factors, and Arbitrage
Swap, Spot, and Forward Rates
Returns, Yields, Spreads, and P&L Attribution
DV01, Duration, and Convexity
Key-Rate-, Partial-, and Forward-Bucket '01s and Durations
Regression Hedging and Principal Component Analysis
Arbitrage Pricing with Term Structure Models
Expectations, Risk Premium, Convexity, and the Shape of the Term Structure
The Vasicek and Gauss Models
Repurchase Agreements and Financing
Note and Bond Futures
Short-Term Rates and Their Derivatives
Interest Rate Swaps
Corporate Debt and Credit Default Swaps
Mortgages and Mortgage-Backed Securities
Fixed Income Options
"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 fourth edition will include a completely new intro chapter on global markets that reflects the numerous changes since the Crash of 2008, and updates throughout the rest of the book"--
9781119835554
Fixed-income securities.
332.6320 / TUC
Fixed income securities : tools for today's markets / Bruce Tuckman, Angel Serrat. - 4th ed. - New Jersey: Wiley, 2022. - xiii, 542 pages ; 24 cm.
Includes bibliographical references and index.
Prices, Discount Factors, and Arbitrage
Swap, Spot, and Forward Rates
Returns, Yields, Spreads, and P&L Attribution
DV01, Duration, and Convexity
Key-Rate-, Partial-, and Forward-Bucket '01s and Durations
Regression Hedging and Principal Component Analysis
Arbitrage Pricing with Term Structure Models
Expectations, Risk Premium, Convexity, and the Shape of the Term Structure
The Vasicek and Gauss Models
Repurchase Agreements and Financing
Note and Bond Futures
Short-Term Rates and Their Derivatives
Interest Rate Swaps
Corporate Debt and Credit Default Swaps
Mortgages and Mortgage-Backed Securities
Fixed Income Options
"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 fourth edition will include a completely new intro chapter on global markets that reflects the numerous changes since the Crash of 2008, and updates throughout the rest of the book"--
9781119835554
Fixed-income securities.
332.6320 / TUC
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