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Tuckman, Bruce

Fixed Income Securities: Tools for Today's Markets - 3rd ed - New Jersey John Wiley & Sons, Inc. 2012 - 634p - Wiley Finance Series .

Part 1 The Relative Pricing of Securities with Fixed Cash Flows
1. Prices, Discount Factors, and Arbitrage
2. Spot, Forward, and Par Rates
3. Returns, Spreads, and Yields
Part 2 Measures of Interest Rate Risk and Hedging
4. One-Factor Risk Metrics and Hedges
5. Multi-Factor Risk Metrics and Hedges
6. Empirical Approaches to Risk Metrics and Hedging
Part 3 Term Structure Models
7. The Science of Term Structure Models
8. The Evolution of Short Rates and the Shape of the Term Structure
9. The Art of Term Structure Models: Drift
10. The Art of Term Structure Models: Volatility and Distribution
11. The Gauss+ and LIBOR Market Models
Part 4 Selected Securities and Topics
12. Repurchase Agreements and Financing
13. Forwards and Futures: Preliminaries
14. Note and Bond Futures
15. Short-Term Rates and Their Derivatives
16. Swaps
17. Arbitrage with Financing and Two-Curve Discounting
18. Fixed income Options
19. Corporate Bonds and Credit Default Swaps
20. Mortgages and Mortgage-Backed Securities
21. Curve Construction

ISBN: 9780470904039

Subjects--Personal Names:
Fixed-income Securities.

Dewey Class. No.: 332.63​2044 / TUC