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Wiley Finance Ser.: Fixed Income Securities University Ed. : Tools for Today's Markets by Bruce Tuckman (2002, Trade Paperback)
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About this product
Product Identifiers
PublisherWiley & Sons, Incorporated, John
ISBN-100471063223
ISBN-139780471063223
eBay Product ID (ePID)2020953
Product Key Features
Number of Pages528 Pages
Publication NameFixed Income Securities University Ed. : Tools for Today's Markets
LanguageEnglish
SubjectFinance / General, Investments & Securities / General, Personal Finance / General
Publication Year2002
TypeTextbook
Subject AreaBusiness & Economics
AuthorBruce Tuckman
SeriesWiley Finance Ser.
FormatTrade Paperback
Dimensions
Item Height1.3 in
Item Weight22.4 Oz
Item Length9 in
Item Width6 in
Additional Product Features
Edition Number2
Intended AudienceScholarly & Professional
LCCN2002-005425
Dewey Edition21
Series Volume Number90
IllustratedYes
Dewey Decimal332.63/2044
Edition DescriptionAbridged edition,Revised edition
Table Of ContentINTRODUCTION.ACKNOWLEDGMENTS.PART ONE: The Relative Pricing of Fixed Income Securities with Fixed Cash Flows.CHAPTER 1: Bond Prices, Discount Factors, and Arbitrage.The Time Value of Money.Treasury Bond Quotations.Discount Factors.The Law of One Price.Arbitrage and the Law of One Price.Treasury STRIPS.APPENDIX 1A: Deriving the Replicating Portfolio.APPENDIX 1B: APPLICATION: Treasury Triplets and High Coupon Bonds.CHAPTER 2: Bond Prices, Spot Rates, and Forward Rates.Semiannual Compounding.Spot Rates.Forward Rates.Maturity and Bond Price.Maturity and Bond Return.Treasury STRIPS, Continued.APPENDIX 2A: The Relation between Spot and Forward Rates and the Slope of the Term Structure.CHAPTER 3: Yield-to-Maturity.Definition and Interpretation.Yield-to-Maturity and Spot Rates.Yield-to-Maturity and Relative Value: The Coupon Effect.Yield-to-Maturity and Realized Return.CHAPTER 4: Generalizations and Curve Fitting.Accrued Interest.Compounding Conventions.Yield and Compounding Conventions.Bad Days.Introduction to Curve Fitting.Piecewise Cubics.APPLICATION: Fitting the Term Structure in the U.S. Treasury Market on February 15, 2001.TRADING CASE STUDY: A 7s-8s-9s Butterfly.APPENDIX 4A: Continuous Compounding.APPENDIX 4B: A Simple Cubic Spline.PART TWO: Measures of Price Sensitivity and Hedging.CHAPTER 5: One-Factor Measures of Price Sensitivity.DV01.A Hedging Example, Part I: Hedging a Call Option.Duration.Convexity.A Hedging Example, Part II: A Short Convexity Position.Estimating Price Changes and Returns with DV01, Duration, and Convexity.Convexity in the Investment and Asset-Liability Management Contexts.Measuring the Price Sensitivity of Portfolios.A Hedging Example, Part III: The Negative Convexity of Callable Bonds.CHAPTER 6: Measures of Price Sensitivity Based on Parallel Yield Shifts.Yield-Based DV01.Modified and Macaulay Duration.Zero Coupon Bonds and a Reinterpretation of Duration.Par Bonds and Perpetuities.Duration, DV01, Maturity, and Coupon: A Graphical Analysis.Duration, DV01, and Yield.Yield-Based Convexity.Yield-Based Convexity of Zero Coupon Bonds.The Barbell versus the Bullet.CHAPTER 7: Key Rate and Bucket Exposures.Key Rate Shifts.Key Rate 01s and Key Rate Durations.Hedging with Key Rate Exposures.Choosing Key Rates.Bucket Shifts and Exposures.Immunization.Multi-Factor Exposures and Risk Management.CHAPTER 8: Regression-Based Hedging.Volatility-Weighted Hedging.One-Variable Regression-Based Hedging.Two-Variable Regression-Based Hedging.TRADING CASE STUDY: The Pricing of the 20-Year U.S. Treasury Sector.A Comment on Level Regressions.PART THREE: Term Structure Models.CHAPTER 9: The Science of Term Structure Models.Rate and Price Trees.Arbitrage Pricing of Derivatives.Risk-Neutral Pricing.Arbitrage Pricing in a Multi-Period Setting.Example: Pricing a CMT Swap.Reducing the Time Step.Fixed Income versus Equity Derivatives.CHAPTER 10: The Short-Rate Process and the Shape of the Term Structure.Expectations.Volatility and Convexity.Risk Premium.A Mathematical Description of Expectations, Convexity, and Risk Premium.APPLICATION: Expectations, Convexity, and Risk Premium in the U.S. Treasury Market on February 15, 2001.APPENDIX 10A: Proofs of Equations (10.19) and (10.25).CHAPTER 11: The Art of Term Structure Models: Drift.Normally Distributed Rates, Zero Drift: Model 1.Drift and Risk Premium: Model 2.Time-Dependent Drift: The Ho-Lee Model.Desirability of Fitting to the Term Structure.Mean Reversion: The Vasicek (1977) Model.CHAPTER 12: The Art of Term Structure Models: Volatility and Distribution.Time-Dependent Volatility: Model 3.Volatility as a Function of
SynopsisIncludes a series of end-of-chapter questions for students. * Explains the subtleties of fixed income mathematics. * Discusses multi-factor interest rate models and offers four original case studies. * Covers the latest fixed income securities valuation models and techniques, and their application in real world situations.
LC Classification NumberHG4650.T83 2002
