The book begins with an overview of global fixed income markets and continues with the fundamentals, namely, arbitrage pricing, interest rates, risk metrics, and term structure models to price contingent claims. Subsequent chapters cover individual markets and securities: repo, rate and bond forwards and futures, interest rate and basis swaps, credit markets, fixed income options, and mortgage-backed-securities.
Fixed Income Securities, Third Edition is full of examples, applications, and case studies. Practically every quantitative concept is illustrated through real market data. This practice-oriented approach makes the book particularly useful for the working professional.
This third edition is a considerable revision and expansion of the second. Most examples have been updated. The chapters on fixed income options and mortgage-backed securities have been considerably expanded to include a broader range of securities and valuation methodologies. Also, three new chapters have been added: the global overview of fixed income markets; a chapter on corporate bonds and credit default swaps; and a chapter on discounting with bases, which is the foundation for the relatively recent practice of discounting swap cash flows with curves based on money market rates.
[FOR THE UNIVERSITY EDITION]
This university edition includes problems which students can use to test and enhance their understanding of the text.
Keywords: Bruce Tuckman, Angel Serrat, fixed income securities, arbitrage pricing of fixed income securities, discount factors, spot rates, forward rates, par rates, yield, spread, DV01, duration, convexity, key-rate ’01, key-rate duration, partial PV01, forward buckets, regression hedging, principal component analysis, term structure models, option-adjusted spread, time-dependent drift, time-dependent volatility, Ho-Lee model, Vasicek model, lognormal term structure model, Cox-Ingersoll-Ross model, Black-Karasinski model, Gauss+ model, Libor Market model, repo market, financing fixed income securities, forward contracts, futures contracts, note and bond futures, Eurodollar futures, fed fund futures, LIBOR, fed funds, overnight index swap, OIS, interest rate swaps, basis swaps, two-curve discounting, Black model, Black-Scholes model, bond options, Eurodollar futures options, Euribor futures options, bond futures options, caps, caplets, floor, floorlets, swaptions, corporate bonds, credit default swaps, CDS, bond ratings, credit risk, default risk, mortgage-backed securities, TBAs, dollar roll