Fixed Income Securities: Tools for Today's Markets / Edition 2

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A volatile new breed of fixed income securities have taken the market by storm over the past few years. Offering profit-hungry money managers and institutional investors the promise of far greater rewards than traditional fixed securities, these fickle instruments also entail far greater risk. Due, in great part, to the sometimes violent ways in which these new fixed securities respond to changes in interest rates, old imprecise rules of thumb that worked so well in traditional markets only lead to disaster when applied to the likes of forward contracts, floating rate bonds, inverse floaters, IOs, interest rate swaps, and swaptions. Of course researchers have developed sophisticated tools for analyzing and applying these new instruments, but most of these, unfortunately, are over the heads of average practitioners ... or are they? In this highly readable, applications-oriented guide to one of today's hottest financial topics, Bruce Tuckman clearly, methodically, and with a bare minimum of difficult math, describes today's vast and growing array of new fixed income securities and schools you in cutting-edge techniques for fixed income application and risk control. Using easy-to-follow charts and tables that simplify the most complex subject matter, he walks you through the basic principles and procedures used in pricing today's fixed income choices - from securities and fixed cash flows to embedded options in corporate bonds and mortgage-backed securities. Working in a methodical, step-wise fashion, Tuckman begins with an in-depth review of the basic concepts and tools for traditional fixed income securities. From there he introduces modern arbitrage-free techniques for pricing more complex fixed income securities and their derivatives. He next acquaints readers with measures of price sensitivity crucial to portfolio risk assessment, asset/liability management, and hedging. And finally, by focusing in turn on futures, floaters, swaps, corporates, and mortgages,

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.

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Product Details

  • ISBN-13: 9780471063223
  • Publisher: Wiley, John & Sons, Incorporated
  • Publication date: 8/2/2002
  • Series: Wiley Finance Series, #90
  • Edition description: 2nd Edition (University Edition)
  • Edition number: 2
  • Pages: 528
  • Product dimensions: 5.90 (w) x 8.80 (h) x 1.50 (d)

Meet the Author

Bruce Tuckman holds a PhD in economics from MIT and beganhis career as a professor of finance at New York University's SternSchool of Business. Moving to the industry, he became a managingdirector at Salomon Brothers' Fixed Income Proprietary TradingGroup; ran research groups at Credit Suisse and Lehman Brothers;and, for the Prime Services Division at Barclays Capital, wasglobal head of research and an executive committee member. He isnow the Director of Financial Markets Research at the Center forFinancial Stability, a think tank in New York.

Angel Serrat holds a PhD in finance from MIT. Prior tojoining the industry, he was a member of the finance faculty at TheUniversity of Chicago's Graduate School of Business. He haspublished in journals including The Review of Economic Studies, TheReview of Financial Studies, and Econometrica. He was an executivedirector of strategy groups at Goldman Sachs and Credit Suisse, andlater became a managing director at JPMorgan's global proprietarypositioning business as a portfolio manager and head of strategy.He is currently a partner at Capula Investment Management, a fixedincome asset management firm.

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Table of Contents

Pt. 1 The Relative Pricing of Traditional Fixed Income Securities 1
Ch. 1 Bond Prices and Discount Factors 3
Ch. 2 Bond Prices and Interest Rates: Spot and Forward 15
Ch. 3 Yield-to-Maturity 31
Ch. 4 Real Data Issues 39
Pt. 2 The Relative Pricing of Interest Rate Contingent Claims 61
Ch. 5 An Introduction to Arbitrage-Free Pricing of Derivatives 65
Ch. 6 Risk-Neutral Pricing 71
Ch. 7 Arbitrage-Free Pricing in a Realistic Setting 75
Ch. 8 The Art of Term-Structure Modeling 85
Ch. 9 Equilibrium vs. Arbitrage-Free Models 107
Pt. 3 Measures of Price Sensitivity 111
Ch. 10 The Price-Rate Function and its Derivative 113
Ch. 11 Measures of Price Sensitivity 119
Ch. 12 Macaulay and Modified Duration 135
Ch. 13 Key Rate Durations 153
Pt. 4 Selected Applications 163
Ch. 14 Forward and Futures Contracts 165
Ch. 15 Floaters and Inverse Floaters 183
Ch. 16 Interest Rate Swaps 187
Ch. 17 The Options Embedded in Corporate Bonds 197
Ch. 18 Mortgage-Backed Securities 223
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