(Ebook PDF) Fixed Income Securities 4th Edition by Bruce Tuckman 1119835593 9781119835592 full chapters

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Product details:

ISBN-10 :  1119835593 

ISBN-13 :  9781119835592

Author : Bruce Tuckman 

Fixed Income Securities: Tools for Today’s Markets has been a valued resource for practitioners and students for over 25 years. Clearly written, and drawing on a myriad of real market examples, it presents an overview of fixed income markets; explains the conceptual frameworks and quantitative tool kits used in the industry for pricing and hedging; and examines a wide range of fixed income instruments and markets, including: government bonds; interest rate swaps; repurchase agreements; interest rate futures; note and bond futures; bond options and swaptions; corporate bonds; credit default swaps; and mortgages and mortgage-backed securities. 

Fixed Income Securities 4th Table of contents:

CHAPTER 0: Overview
0.1 GLOBAL FIXED INCOME MARKETS
0.2 US MARKETS
0.3 US MARKET PARTICIPANTS
0.4 MONETARY POLICY WITH ABUNDANT RESERVES
0.5 NEGATIVE RATES AND QE IN EUROPE AND JAPAN
0.6 TRADING AND LIQUIDITY
NOTES
CHAPTER 1: Prices, Discount Factors, and Arbitrage
1.1 GOVERNMENT COUPON BONDS
1.2 DISCOUNT FACTORS
1.3 THE LAW OF ONE PRICE
1.4 ARBITRAGE AND THE LAW OF ONE PRICE
1.5 APPLICATION: IDIOSYNCRATIC PRICING OF TREASURY STRIPS
1.6 ACCRUED INTEREST
1.7 DAY‐COUNT CONVENTIONS
NOTES
CHAPTER 2: Swap, Spot, and Forward Rates
2.1 INTEREST RATE QUOTATIONS
2.2 INTEREST RATE SWAPS
2.3 PRICING INTEREST RATE SWAPS
2.4 SPOT RATES
2.5 FORWARD RATES
2.6 RELATIONSHIPS BETWEEN SWAP, SPOT, AND FORWARD RATES
CHAPTER 3: Returns, Yields, Spreads, and P&L Attribution
3.1 REALIZED RETURNS
3.2 YIELD TO MATURITY
3.3 YIELD AND RETURN
3.4 YIELD AND RELATIVE VALUE
3.5 SPREADS
3.6 APPLICATION: SPREADS OF HIGH‐COUPON TREASURIES
3.7 UNCHANGED RATE SCENARIOS FOR P&L ATTRIBUTION
3.8 P&L ATTRIBUTION
NOTES
CHAPTER 4: DV01, Duration, and Convexity
4.1 PRICE–RATE CURVES
4.2 DV01
4.3 HEDGING A CENTURY BOND: PART I
4.4 DURATION
4.5 CONVEXITY
4.6 HEDGING A CENTURY BOND: PART II
4.7 YIELD‐BASED DV01, DURATION, AND CONVEXITY
4.8 THE BARBELL VERSUS THE BULLET
NOTES
CHAPTER 5: Key‐Rate, Partial, and Forward‐Bucket ’01s and Durations
5.1 KEY RATES: MOTIVATION
5.2 KEY RATES: OVERVIEW
5.3 KEY RATES: SHIFTS
5.4 KEY RATES: ’01S, DURATIONS, AND HEDGING
5.5 PARTIAL ’01S AND PV01
5.6 FORWARD‐BUCKET ’01S
5.7 MULTI‐FACTOR EXPOSURES AND PORTFOLIO VOLATILITY
NOTES
CHAPTER 6: Regression Hedging and Principal Component Analysis
6.1 SINGLE‐VARIABLE REGRESSION HEDGING
6.2 TWO‐VARIABLE REGRESSION HEDGING
6.3 LEVEL VERSUS CHANGE REGRESSIONS
6.4 REVERSE REGRESSIONS
6.5 PRINCIPAL COMPONENT ANALYSIS
NOTES
CHAPTER 7: Arbitrage Pricing with Term Structure Models
7.1 RATE AND PRICE TREES
7.2 ARBITRAGE PRICING OF DERIVATIVES
7.3 RISK‐NEUTRAL PRICING
7.4 ARBITRAGE PRICING IN A MULTI‐PERIOD SETTING
7.5 PRICING A CONSTANT‐MATURITY TREASURY SWAP
7.6 OPTION‐ADJUSTED SPREAD
7.7 PROFIT AND LOSS ATTRIBUTION WITH AN OAS
7.8 REDUCING THE TIME STEP
7.9 FIXED INCOME VERSUS EQUITY DERIVATIVES
NOTE
CHAPTER 8: Expectations, Risk Premium, Convexity, and the Shape of the Term Structure
8.1 EXPECTATIONS
8.2 VOLATILITY AND CONVEXITY
8.3 AN ANALYTICAL DECOMPOSITION OF FORWARD RATES
NOTE
CHAPTER 9: The Vasicek and Gauss+ Models
9.1 THE VASICEK MODEL
9.2 THE GAUSS+ MODEL
9.3 A PRACTICAL ESTIMATION METHOD
9.4 RELATIVE VALUE AND MACRO‐STYLE TRADING WITH THE GAUSS+ MODEL
NOTES
CHAPTER 10: Repurchase Agreements and Financing
10.1 REPURCHASE AGREEMENTS
10.2 USES OF REPURCHASE AGREEMENTS
10.3 MARKET STRUCTURE AND SIZE
10.4 SOFR
10.5 GC AND SPECIAL REPO RATES
10.6 LIQUIDITY MANAGEMENT AND CURRENT REGULATORY ISSUES
10.7 CASE STUDY: MF GLOBAL’S REPO‐TO‐MATURITY TRADES
NOTES
CHAPTER 11: Note and Bond Futures
11.1 FORWARD CONTRACTS AND FORWARD PRICES
11.2 FORWARD BOND YIELD
11.3 THE INTEREST RATE SENSITIVITY OF A FORWARD CONTRACT
11.4 MECHANICS OF US TREASURY NOTE AND BOND FUTURES
11.5 PRICING AND HEDGING IMPLICATIONS OF DAILY SETTLEMENT
11.6 COST OF DELIVERY AND THE FINAL SETTLEMENT PRICE
11.7 MOTIVATIONS FOR A DELIVERY BASKET AND CONVERSION FACTORS
11.8 THE QUALITY OPTION AT EXPIRATION
11.9 GROSS AND NET BASIS AND BASIS TRADES
11.10 IMPLIED REPO RATES
11.11 FUTURES PRICE AND THE QUALITY OPTION BEFORE EXPIRATION
11.12 THE TIMING, END‐OF‐MONTH, AND WILD‐CARD OPTIONS
11.13 CASE STUDY: BASIS TRADES IN MARCH 2020
NOTES
CHAPTER 12: Short‐Term Rates and Their Derivatives
12.1 SHORT‐TERM RATES AND THE TRANSITION FROM LIBOR
12.2 ONE‐MONTH SOFR FUTURES
12.3 FED FUND FUTURES
12.4 THREE‐MONTH SOFR FUTURES
12.5 EURIBOR FORWARD RATE AGREEMENTS AND FUTURES
12.6 THE FUTURES‐FORWARD DIFFERENCE
NOTES
CHAPTER 13: Interest Rate Swaps
13.1 MARKET SIZE AND PARTICIPANTS
13.2 IRS CASH FLOWS AND ANALYTICS
13.3 USES OF INTEREST RATE SWAPS
13.4 COUNTERPARTY CREDIT RISK
13.5 CLEARING AND CENTRAL COUNTERPARTIES
13.6 BASIS SWAPS
NOTES
CHAPTER 14: Corporate Debt and Credit Default Swaps
14.1 CORPORATE BONDS AND LOANS
14.2 DEFAULT RATES, RECOVERY RATES, AND CREDIT LOSSES
14.3 CREDIT SPREADS
14.4 CREDIT RISK PREMIUM
14.5 CREDIT DEFAULT SWAPS
14.6 CDS UPFRONT AMOUNTS
14.7 CDS‐EQUIVALENT BOND SPREAD
14.8 CDS‐BOND BASIS
14.9 HAZARD‐ADJUSTED DURATION AND DV01
14.10 SPREAD DURATION AND DV01
14.11 CDS SETTLEMENT AUCTIONS
14.12 OPPORTUNISTIC CDS STRATEGIES
14.13 CASE STUDY: THE LONDON WHALE
NOTES
CHAPTER 15: Mortgages and Mortgage‐Backed Securities
15.1 THE MORTGAGE MARKET IN THE UNITED STATES
15.2 FIXED‐RATE MORTGAGE LOANS
15.3 ADJUSTABLE‐RATE MORTGAGES
15.4 PREPAYMENTS
15.5 MORTGAGE POOLS
15.6 PREPAYMENT MODELING
15.7 MORTGAGE PRICING, SPREADS, AND DURATION
15.8 TBA AND SPECIFIED POOLS MARKETS
15.9 RISK FACTORS AND HEDGING AGENCY MBS
15.10 DOLLAR ROLLS
15.11 OTHER MBS
15.12 CREDIT RISK TRANSFER SECURITIES
NOTES
CHAPTER 16: Fixed Income Options
16.1 EMBEDDED BOND CALL OPTIONS
16.2 EURIBOR FUTURES OPTIONS
16.3 BOND FUTURES OPTIONS
16.4 CAPS AND FLOORS
16.5 SWAPTIONS
16.6 SWAPTION SKEW

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