Fixed Income Securities: Tools for Today's Markets

650 Pages·2011·13.94 MB·English

by  Bruce Tuckman

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AdditionalPraisefor
Fixed Income Securities: Tools for Today’s Markets,
3rd Edition
“Thecoverageoffixedincomemarketsandinstrumentsisevenbetterthaninpre-
vious editions while the book retains the same clarity of exposition via extensive,
carefully worked examples. An outstanding textbook that is extensively used by
practitionersissomethingspecial.Thisisindeedthestandouttextonfixedincome.”
—StephenM.Schaefer,ProfessorofFinance,LondonBusinessSchool
“Thisisaterrificreferencetextthatcombinesastrongconceptualframeworkwith
real-worldpricingandhedgingapplications.Itisamust-readforanyseriousinvestor
infixedincomemarkets.”
—TerryBelton,GlobalHeadofFixedIncomeResearch,JPMorgan
“This outstanding book achieves the perfect balance between presenting the foun-
dationalprinciplesoffixedincomemarketsandprovidinginterestingandinsightful
practical applications. This classic is required reading for anyone interested in un-
derstandingfixedincomemarkets.”
—FrancisLongstaff,AllstateProfessorofInsuranceandFinance,
TheAndersonSchoolatUCLA
“Thisisagreatbook.Itcoversthemostcurrentissuesinfixedincomeandreflects
the authors’ deep understanding of the markets grounded in the theory of finance
andmanyyearsofpracticalexperience.”
—ArdavanNozari,Treasurer,CitigroupGlobalMarketsHoldingInc.
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Fixed Income
Securities
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Fixed Income
Securities
Tools for Today’s Markets
Third Edition
BRUCE TUCKMAN
ANGEL SERRAT
John Wiley & Sons, Inc.
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Copyright(cid:2)c 2012byBruceTuckmanandAngelSerrat.Allrightsreserved.
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LibraryofCongressCataloging-in-PublicationData:
Tuckman,Bruce.
Fixedincomesecurities:toolsfortoday’smarkets/BruceTuckman,AngelSerrat.–3rded.
p.cm.–(Wileyfinanceseries)
Includesindex.
ISBN978-0-470-89169-8(hardback)
ISBN978-0-470-90403-9(paperback);ISBN978-1-118-13397-2(ebk);
ISBN978-1-118-13398-9(ebk);ISBN978-1-118-13399-6(ebk)
1.Fixed-incomesecurities. I.Serrat,Angel. II.Title.
HG4650.T832012
332.63(cid:3)2044–dc23
2011037178
PrintedintheUnitedStatesofAmerica
10 9 8 7 6 5 4 3 2 1
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Contents
PrefacetotheThirdEdition xi
Acknowledgments xiii
AnOverviewofGlobalFixedIncomeMarkets 1
PARTONE
TheRelativePricingofSecuritieswithFixedCashFlows 47
CHAPTER1
Prices,DiscountFactors,andArbitrage 51
CHAPTER2
Spot,Forward,andParRates 69
CHAPTER3
Returns,Spreads,andYields 95
PARTTWO
MeasuresofInterestRateRiskandHedging 119
CHAPTER4
One-FactorRiskMetricsandHedges 123
CHAPTER5
Multi-FactorRiskMetricsandHedges 153
CHAPTER6
EmpiricalApproachestoRiskMetricsandHedging 171
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viii CONTENTS
PARTTHREE
TermStructureModels 201
CHAPTER7
TheScienceofTermStructureModels 207
CHAPTER8
TheEvolutionofShortRatesandtheShapeoftheTermStructure 229
CHAPTER9
TheArtofTermStructureModels:Drift 251
CHAPTER10
TheArtofTermStructureModels:VolatilityandDistribution 275
CHAPTER11
TheGauss+andLIBORMarketModels 287
PARTFOUR
SelectedSecuritiesandTopics 325
CHAPTER12
RepurchaseAgreementsandFinancing 327
CHAPTER13
ForwardsandFutures:Preliminaries 351
CHAPTER14
NoteandBondFutures 373
CHAPTER15
Short-TermRatesandTheirDerivatives 401
CHAPTER16
Swaps 435
CHAPTER17
ArbitragewithFinancingandTwo-CurveDiscounting 457
CHAPTER18
FixedIncomeOptions 483