Fixed Income Securities: Tools for Today's Markets - Rilegato

Tuckman, Bruce; Serrat, Angel

Rilegato

ISBN 10: 0470891696 ISBN 13: 9780470891698

Casa editrice: John Wiley & Sons Inc, 2011

Riassunto

Fixed income practitioners need to understand the conceptual frameworks of their field; to master its quantitative tool-kit; and to be well-versed in its cash-flow and pricing conventions. Fixed Income Securities, Third Edition by Bruce Tuckman and Angel Serrat is designed to balance these three objectives. The book presents theory without unnecessary abstraction; quantitative techniques with a minimum of mathematics; and conventions at a useful level of detail.

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.

Su questo libro

L'autore

Bruce Tuckman holds a PhD in economics from MIT and began his career as a professor of finance at New York University's Stern School of Business. Moving to the industry, he became a managing director at Salomon Brothers' Fixed Income Proprietary Trading Group; ran research groups at Credit Suisse and Lehman Brothers; and, for the Prime Services Division at Barclays Capital, was global head of research and an executive committee member. He is now the Director of Financial Markets Research at the Center for Financial Stability, a think tank in New York.

Angel Serrat holds a PhD in finance from MIT. Prior to joining the industry, he was a member of the finance faculty at The University of Chicago's Graduate School of Business. He has published in journals including The Review of Economic Studies, The Review of Financial Studies, and Econometrica. He was an executive director of strategy groups at Goldman Sachs and Credit Suisse, and later became a managing director at JPMorgan's global proprietary positioning business as a portfolio manager and head of strategy. He is currently a partner at Capula Investment Management, a fixed income asset management firm.

Dalla seconda/terza di copertina

Both working professionals and newcomers to the broad, complex, and competitive field of fixed income will appreciate the approach of authors Bruce Tuckman and Angel Serrat in this Third Edition, namely: theory and conceptual frameworks presented intuitively and without unnecessary abstraction; quantitative models and techniques developed with a minimum of mathematical complexity; institutional structures and market conventions described at a useful level of detail; and ideas clearly and profusely illustrated with market data, realistic examples, applications, and case studies.

Fixed Income Securities, Third Edition begins with an overview of global fixed income markets, focusing on those in the United States, Europe, and Japan. Who borrows and who lends? How big are the various players and markets? How has the 2007?2009 financial crisis manifested itself?

With the institutional background set, Part One of the book lays the foundations of fixed income pricing, namely, the arbitrage pricing of securities with fixed cash flows and the various ways to quote interest rates and returns. Part Two then describes interest rate risk and hedging, including: one-factor approaches (DV01, duration, and convexity); multi-factor approaches (key rate '01s and durations, partial '01s and PV01, and forward-bucket '01s); and empirical approaches (regression and principal component analyses).

Part Three shows how to price interest rate derivatives. It starts with the fundamentals, the arbitrage pricing of contingent claims and the determination of the shape of the yield curve, and then continues on to one-factor short-rate models. Finally, the last chapter of this part presents the Gauss+ model, a three-factor model popular with relative value traders, and?in a presentation unique for its mathematical simplicity?introduces the LMM model, an approach popular with exotic derivatives traders.

Part Four builds on the earlier parts of the book to present and analyze many other markets and securities, including repo, interest rate futures and derivatives, note and bond futures, interest rate and basis swaps, fixed income options, corporate bonds, credit default swaps, mortgages, and mortgage-backed securities. This part also contains a chapter explaining the industry's relatively recent shift from LIBOR to OIS discounting and another chapter on the practicalities of curve construction.

Fixed Income Securities, Third Edition has been written in such a way as to bring a necessarily complex subject matter?developed over years by leading academics and practitioners?to a broad audience of investors, traders, and other working finance professionals. This audience will indeed find this book an invaluable collection of tools for today's markets.

Dettagli dell?edizione

• Editore: John Wiley & Sons Inc
• Data di pubblicazione: 2011
• ISBN 10: 0470891696
• ISBN 13: 9780470891698
• Rilegatura: Copertina rigida
• Lingua: Inglese
• Numero edizione: 3
• Numero di pagine: 620