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Wiley Finance Ser.: Fixed Income Securities : Tools for Today's Markets by Bruce Tuckman (2002, Hardcover, Revised edition)

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This book is a valuable resource for anyone interested in fixed income securities. The author, Bruce Tuckman, provides a comprehensive overview of the tools and strategies needed to navigate today's markets. This Second edition book covers everything from finance and general investments to securities and investments.The book measures 9 inches in length, 6.4 inches in width, and 1.6 inches in height. It has a weight of 27.3 ounces and contains 512 pages. Published by Wiley & Sons, Incorporated, John in 2002, this book is written in English and is categorized under Books and Magazines.

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Praise for Fixed Income Securities, Second Edition "What distinguishes this book from many others on the subject is that Tuckman has skillfully combined intuitive rationale with mathematical analysis to give readers a clear and deep understanding of the market. Tuckman has written a comprehensive reference book that should be found on the desks of both seasoned practitioners and novices alike." Gerald Lucas, Senior Government Strategist, Director, Global Securities Research, Merrill Lynch "This outstanding book offers a well-written and clear tutorial for many of the cutting-edge analytical techniques and models used in practice. Combines a wealth of institutional knowledge, practical tools, and realistic examples, while giving a clear understanding of the underlying theory." Francis Longstaff, Professor of Finance, The Anderson School at UCLA "An excellent reference for anyone intending to bridge the gap between financial mathematics theory and the practice of financial markets." Marek Musiela, BNP Paribas "This is an extremely readable book with a balance between technical detail and practical application. Unlike other books in the area, thorough and tightly knit chapters reflect Tuckman s unique background as a well-respected academic and market participant." Tony D. Kao, Managing Director, Global Fixed Income GM Asset Management

Product Identifiers

Publisher
Wiley & Sons, Incorporated, John
ISBN-10
0471063177
ISBN-13
9780471063179
eBay Product ID (ePID)
2034972

Product Key Features

Book Title
Fixed Income Securities : Tools for Today's Markets
Author
Bruce Tuckman
Format
Hardcover
Language
English
Features
Revised
Topic
Finance / General, Investments & Securities / General
Publication Year
2002
Genre
Business & Economics
Number of Pages
528 Pages

Dimensions

Item Length
9in
Item Height
1.6in
Item Width
6.4in
Item Weight
27.3 Oz

Additional Product Features

Series Volume Number
89
Lc Classification Number
Hg4650.T83 2002
Edition Description
Revised Edition
Edition Number
2
Table of Content
INTRODUCTION.ACKNOWLEDGMENTS.PART ONE: The Relative Pricing of Fixed Income Securities with Fixed Cash Flows.CHAPTER 1: Bond Prices, Discount Factors, and Arbitrage.The Time Value of Money.Treasury Bond Quotations.Discount Factors.The Law of One Price.Arbitrage and the Law of One Price.Treasury STRIPS.APPENDIX 1A: Deriving the Replicating Portfolio.APPENDIX 1B: APPLICATION: Treasury Triplets and High Coupon Bonds.CHAPTER 2: Bond Prices, Spot Rates, and Forward Rates.Semiannual Compounding.Spot Rates.Forward Rates.Maturity and Bond Price.Maturity and Bond Return.Treasury STRIPS, Continued.APPENDIX 2A: The Relation between Spot and Forward Rates and the Slope of the Term Structure.CHAPTER 3: Yield-to-Maturity.Definition and Interpretation.Yield-to-Maturity and Spot Rates.Yield-to-Maturity and Relative Value: The Coupon Effect.Yield-to-Maturity and Realized Return.CHAPTER 4: Generalizations and Curve Fitting.Accrued Interest.Compounding Conventions.Yield and Compounding Conventions.Bad Days.Introduction to Curve Fitting.Piecewise Cubics.APPLICATION: Fitting the Term Structure in the U.S. Treasury Market on February 15, 2001.TRADING CASE STUDY: A 7s-8s-9s Butterfly.APPENDIX 4A: Continuous Compounding.APPENDIX 4B: A Simple Cubic Spline.PART TWO: Measures of Price Sensitivity and Hedging.CHAPTER 5: One-Factor Measures of Price Sensitivity.DV01.A Hedging Example, Part I: Hedging a Call Option.Duration.Convexity.A Hedging Example, Part II: A Short Convexity Position.Estimating Price Changes and Returns with DV01, Duration, and Convexity.Convexity in the Investment and Asset-Liability Management Contexts.Measuring the Price Sensitivity of Portfolios.A Hedging Example, Part III: The Negative Convexity of Callable Bonds.CHAPTER 6: Measures of Price Sensitivity Based on Parallel Yield Shifts.Yield-Based DV01.Modified and Macaulay Duration.Zero Coupon Bonds and a Reinterpretation of Duration.Par Bonds and Perpetuities.Duration, DV01, Maturity, and Coupon: A Graphical Analysis.Duration, DV01, and Yield.Yield-Based Convexity.Yield-Based Convexity of Zero Coupon Bonds.The Barbell versus the Bullet.CHAPTER 7: Key Rate and Bucket Exposures.Key Rate Shifts.Key Rate 01s and Key Rate Durations.Hedging with Key Rate Exposures.Choosing Key Rates.Bucket Shifts and Exposures.Immunization.Multi-Factor Exposures and Risk Management.CHAPTER 8: Regression-Based Hedging.Volatility-Weighted Hedging.One-Variable Regression-Based Hedging.Two-Variable Regression-Based Hedging.TRADING CASE STUDY: The Pricing of the 20-Year U.S. Treasury Sector.A Comment on Level Regressions.PART THREE: Term Structure Models.CHAPTER 9: The Science of Term Structure Models.Rate and Price Trees.Arbitrage Pricing of Derivatives.Risk-Neutral Pricing.Arbitrage Pricing in a Multi-Period Setting.Example: Pricing a CMT Swap.Reducing the Time Step.Fixed Income versus Equity Derivatives.CHAPTER 10: The Short-Rate Process and the Shape of the Term Structure.Expectations.Volatility and Convexity.Risk Premium.A Mathematical Description of Expectations, Convexity, and Risk Premium.APPLICATION: Expectations, Convexity, and Risk Premium in the U.S. Treasury Market on February 15, 2001.APPENDIX 10A: Proofs of Equations (10.19) and (10.25).CHAPTER 11: The Art of Term Structure Models: Drift.Normally Distributed Rates, Zero Drift: Model 1.Drift and Risk Premium: Model 2.Time-Dependent Drift: The Ho-Lee Model.Desirability of Fitting to the Term Structure.Mean Reversion: The Vasicek (1977) Model.CHAPTER 12: The Art of Term Structure Models: Volatility and Distribution.Time-Dependent Volatility: Model 3.Volatility as a Function of
Copyright Date
2002
Lccn
2002-005425
Dewey Decimal
332.63/2044
Intended Audience
Trade
Series
Wiley Finance Ser.
Dewey Edition
23
Illustrated
Yes

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Wiley Finance Ser.: Fixed Income Securities : Tools for Today's Markets by Bruce Tuckman (2002, Hardcover, Revised edition)

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