Fixed income securities : tools for today's market / Bruce Tuckman.
Series: Wiley finance seriesPublication details: Hoboken, N.J. : Wiley, c2002.Edition: 2nd edDescription: xv, 512 p. : ill. ; 24 cmISBN:- 9780471063223 (paperback)
- HG4650.T83 2002
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Includes bibliographical references (p. 497-499) and index.
Table of Contents
PART ONE: THE RELATIVE PRICING OF FIXED INCOME SECURITIES WITH FIXED CASH FLOWS.
Bond Prices, Discount Factors, and Arbitrage.
Bond Prices, Spot Rates, and Forward Rates.
Yield to Maturity.
Generalizations and Curve Fitting.
PART TWO: MEASURES OF SENSITIVITY AND HEDGING.
One-Factor Measures of Sensitivity.
Measures of Price Sensitivity Based on Parallel Yield Shifts.
Key Rate and Bucket Exposures.
Regression-Based Hedging.
PART THREE: TERM STRUCTURE THEORY AND MODELS.
The Science of Term Structure Models.
The Short-Rate Process and the Shape of the Term Structure.
The Art of Term Structure Models: Drift.
The Art of Term Structure Models: Volatility and Distribution.
Multi-Factor Term Structure Models.
Trading with Term Structure Models.
PART FOUR: ANALYSIS OF SELECTED SECURITIES.
Repo.
Forward Markets.
Eurodollar and Fed Fund Futures.
Interest Rate Swaps.
Fixed Income Options.
Note and Bond Futures.
Mortgage-Backed Securities.
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