Details

<p>Preface ix</p> <p>List of Acronyms xi</p> <p>Chapter 0 Overview 1</p> <p>Chapter 1 Prices, Discount Factors, and Arbitrage 49</p> <p>Chapter 2 Swap, Spot, and Forward Rates 65</p> <p>Chapter 3 Returns, Yields, Spreads, and P&L Attribution 79</p> <p>Chapter 4 DV01, Duration, and Convexity 103</p> <p>Chapter 5 Key-Rate, Partial, and Forward-Bucket ’01s and Durations 135</p> <p>Chapter 6 Regression Hedging and Principal Component Analysis 153</p> <p>Chapter 7 Arbitrage Pricing with Term Structure Models 177</p> <p>Chapter 8 Expectations, Risk Premium, Convexity, and the Shape of the Term Structure 197</p> <p>Chapter 9 The Vasicek and Gauss+ Models 205</p> <p>Chapter 10 Repurchase Agreements and Financing 223</p> <p>Chapter 11 Note and Bond Futures 249</p> <p>Chapter 12 Short-Term Rates and Their Derivatives 289</p> <p>Chapter 13 Interest Rate Swaps 319</p> <p>Chapter 14 Corporate Debt and Credit Default Swaps 347</p> <p>Chapter 15 Mortgages and Mortgage-Backed Securities 395</p> <p>Chapter 16 Fixed Income Options 433</p> <p>Appendix to Chapter 1 Prices, Discount Factors, and Arbitrage 453</p> <p>Appendix to Chapter 2 Swap, Spot, and Forward Rates 457</p> <p>Appendix to Chapter 3 Returns, Yields, Spreads, and P&L Attribution 463</p> <p>Appendix to Chapter 4 DV01, Duration, and Convexity 467</p> <p>Appendix to Chapter 6 Regression Hedging and Principal Component Analysis 469</p> <p>Appendix to Chapter 8 Expectations, Risk Premium, Convexity and the Shape of the Term Structure 477</p> <p>Appendix to Chapter 9 The Vasicek and Gauss+ Models 479</p> <p>Appendix to Chapter 11 Note and Bond Futures 491</p> <p>Appendix to Chapter 12 Short-Term Rates and Their Derivatives 497</p> <p>Appendix to Chapter 13 Interest Rate Swaps 501</p> <p>Appendix to Chapter 14 Corporate Debt and Credit Default Swaps 505</p> <p>Appendix to Chapter 15 Mortgages and Mortgage-Backed Securities 509</p> <p>Appendix to Chapter 16 Fixed Income Options 513</p> <p>About the Website 527</p> <p>Index 529</p>

<p><b>BRUCE TUCKMAN</b> 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. <p><b>ANGEL SERRAT</b> 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.

<p><small>PRAISE FOR</small> <b>PRAISE FOR FIXED INCOME SECURITIES</b></p> <p>“This eagerly awaited update of the classic fixed income textbook presents clear, well-organized analytics and a treasure trove of global institutional detail and historical context.”</p> <p>—<b>JENNIFER CARPENTER</b>, Professor of Finance, NYU Stern School of Business</p> <p>“<i>Fixed Income Securities</i> is the go-to textbook on the subject, and will remain so because of this comprehensive revision. Tuckman and Serrat make their world-leading knowledge accessible and lively. There is no substitute for this modern and expert blend of institutional knowledge, conceptual frameworks, and quantitative models.”</p> <p>—<b>DARRELL DUFFIE</b>, The Adams Distinguished Professor of Management and Professor of Finance, Stanford Graduate School of Business</p> <p>“This masterfully crafted book provides the perfect blend of intuition, foundational principles, insightful examples, and market insights. It provides a comprehensive introduction to every aspect of the fixed income markets in a way that makes it both a pleasure to read and an essential reference for anyone interested in learning about these securities. I strongly recommend this classic.”</p> <p>—<b>FRANCIS LONGSTAFF</b>, Distinguished Professor of Finance, Allstate Chair in Insurance and Finance, UCLA Anderson School of Management</p> <p>“This book stands out by its detailed description of instruments—without compromising on theory—and by the richness of the illustrations and applications sprinkled throughout the book. The authors’ credentials are clearly impeccable, both in training and experience at the cutting edge of fixed income markets. This is a must read for practitioners interested in understanding how these markets function.”</p> <p>—<b>RAVI K. MATTU</b>, Global Head of Analytics, PIMCO</p> <p>“This edition of <i>Fixed Income Securities</i> includes analysis of many new fixed income concepts and instruments, brought to life with excellent commentary and real-world examples. It is an essential guide for any practitioner trying to understand the significant evolution of the fixed income market over the past decade.”</p> <p>—<b>JEFFREY MELI</b>, Head of Research, Barclays Investment Bank</p> <p>“<i>Fixed Income Securities</i> covers everything from classical methods to original new research relevant to the theory and practice of fixed income trading and risk management. Examples are worked through including practical estimation techniques. This book will be extremely useful to new and seasoned professionals.”</p> <p>—<b>ANDREW MORTON</b>, Global Head of Markets, Citi</p> <p>"<i>Fixed Income Securities </i>is excellent, seamlessly combining theory and experience to make the global fixed-income markets come alive for students and practitioners. The fourth edition updates multiple examples and adds context to conceptual presentations. 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."</p> <p>—<b>MYRON SCHOLES</b>, 1997 Nobel Laureate in Economic Sciences, Frank E. Buck Professor of Finance, Emeritus, Graduate School of Business, Stanford University</p>

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