Title: Fixed Income Securities: Tools for Today’s Markets / Edition 3
Author: Bruce Tuckman, Angel Serrat
ISBN-10: 0470891696
ISBN-13: 9780470891698
Both working professionals and newcomers to the broad, complex,and competitive field of fixed income will appreciate the approachof authors Bruce Tuckman and Angel Serrat in this Third Edition,namely: theory and conceptual frameworks presented intuitively andwithout unnecessary abstraction; quantitative models and techniquesdeveloped with a minimum of mathematical complexity; institutionalstructures and market conventions described at a useful level ofdetail; and ideas clearly and profusely illustrated with marketdata, realistic examples, applications, and case studies. Fixed Income Securities, Third Edition begins with an overviewof global fixed income markets, focusing on those in the UnitedStates, Europe, and Japan. Who borrows and who lends? How big arethe various players and markets? How has the 20072009financial crisis manifested itself? With the institutional background set, Part One of the book laysthe foundations of fixed income pricing, namely, the arbitragepricing of securities with fixed cash flows and the various ways toquote interest rates and returns. Part Two then describes interestrate risk and hedging, including: one-factor approaches (DV01,duration, and convexity); multi-factor approaches (key rate ’01sand durations, partial ’01s and PV01, and forward-bucket ’01s); andempirical approaches (regression and principal componentanalyses). Part Three shows how to price interest rate derivatives. Itstarts with the fundamentals, the arbitrage pricing of contingentclaims and the determination of the shape of the yield curve, andthen continues on to one-factor short-rate models. Finally, thelast chapter of this part presents the Gauss+ model, a three-factormodel popular with relative value traders, and—in apresentation unique for its mathematical simplicity—introducesthe LMM model, an approach popular with exotic derivativestraders. Part Four builds on the earlier parts of the book to present andanalyze many other markets and securities, including repo, interestrate futures and derivatives, note and bond futures, interest rateand basis swaps, fixed income options, corporate bonds, creditdefault swaps, mortgages, and mortgage-backed securities. This partalso contains a chapter explaining the industry’s relatively recentshift from LIBOR to OIS discounting and another chapter on thepracticalities of curve construction. Fixed Income Securities, Third Edition has been written in sucha way as to bring a necessarily complex subjectmatter—developed over years by leading academics andpractitioners—to a broad audience of investors, traders, andother working finance professionals. This audience will indeed findthis book an invaluable collection of tools for today’smarkets. A highly readable, applications-oriented approach to one of today’s hottest financial topics, this book shows how to understand and master the fixed income securities market. Using easy-to-follow charts and tables, the guide identifies and describes today’s vast array of new fixed-income securities and shares market-proven approaches to fixed income application and risk control.
