Skip to search form Skip to main content You are currently offline. Some features of the site may not work correctly. Tuckman Published Economics. 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. The book presents theory without unnecessary abstraction; quantitative techniques with a minimum of mathematics; and conventions at a useful level of detail. View PDF.
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This is a dummy description. 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.
Combines a wealth of institutional knowledge, practical tools, and realistic examples, while giving a clear understanding of the underlying theory. Unlike other books in the area, thorough and tightly knit chapters reflect Tuckman s unique background as a well-respected academic and market participant.
Permissions Request permission to reuse content from this site. The Time Value of Money. Treasury Bond Quotations. Discount Factors. The Law of One Price. Arbitrage and the Law of One Price. Semiannual Compounding. Spot Rates. Forward Rates. Maturity and Bond Price. Maturity and Bond Return. Definition and Interpretation. Yield-to-Maturity and Spot Rates. Yield-to-Maturity and Realized Return. Accrued Interest. Compounding Conventions. Yield and Compounding Conventions.
Bad Days. Introduction to Curve Fitting. Piecewise Cubics. Measuring the Price Sensitivity of Portfolios. Yield-Based DV Modified and Macaulay Duration. Zero Coupon Bonds and a Reinterpretation of Duration. Par Bonds and Perpetuities. Duration, DV01, and Yield. Yield-Based Convexity. The Barbell versus the Bullet. Key Rate Shifts. Key Rate 01s and Key Rate Durations. Hedging with Key Rate Exposures.
Choosing Key Rates. Bucket Shifts and Exposures. Multi-Factor Exposures and Risk Management. Volatility-Weighted Hedging. One-Variable Regression-Based Hedging. Two-Variable Regression-Based Hedging. Treasury Sector. A Comment on Level Regressions. Rate and Price Trees. Arbitrage Pricing of Derivatives. Risk-Neutral Pricing. Arbitrage Pricing in a Multi-Period Setting.
Reducing the Time Step. Fixed Income versus Equity Derivatives. Volatility and Convexity. Risk Premium. Drift and Risk Premium: Model 2.
Desirability of Fitting to the Term Structure. Mean Reversion: The Vasicek Model. Time-Dependent Volatility: Model 3. Tree for the Original Salomon Brothers Model. Motivation from Principal Components.
A Two-Factor Model. Tree Implementation. Properties of the Two-Factor Model. Option-Adjusted Spread. Fitting Model Parameters. Hedging to the Model versus Hedging to the Market. Repurchase Agreements and Cash Management. Repurchase Agreements and Financing Long Positions. Reverse Repurchase Agreements and Short Positions.
General Collateral and Specials. Special Repo Rates and the Auction Cycle. Liquidity Premiums of Recent Issues. Forward Price of a Coupon Bond. Forward Yield and Forward DV Forward Prices with Intermediate Coupon Payments. Value of a Forward Contract. Forward Prices in a Term Structure Model. Hedging with Eurodollar Futures.
Futures on Prices in a Term Structure Model. Futures on Rates in a Term Structure Model. The Futures-Forward Difference. TED Spreads. Fed Funds. Fed Funds Futures. Swap Cash Flows.
Valuation of Swaps. Floating Rate Notes. Valuation of Swaps, Continued. Swap Spreads. Major Uses of Interest Rate Swaps. Asset Swap Spreads and Asset Swaps. On the Credit Risk of Swap Agreements.
Fixed Income Securities: Tools for Today's Markets, 2nd Edition
Fixed Income Securities: Tools for Today's Markets