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"Fixed Income Securities is excellent, seamlessly combining theory and experience to make the global fixed-income markets come alive for students and practitioners. It is obvious that the authors not only understand and articulate theory with ease, but also enjoy its application to myriad simple and complicated instruments."
--Myron Scholes 1997 Nobel Laureate in Economics; Frank E. Buck Professor of Finance, Emeritus, Graduate School of Business, Stanford University

"It takes authors who have both insight into financial economics and a thorough understanding of how markets function to write a book that integrates theory and practice so effortlessly. As market turmoil forces us to revisit historical relationships, the book's setting of applications and data in the context of sound theory is particularly useful."
--Ravi Mattu Managing Director and Head of Analytics, PIMCO

"Fixed Income Securities conveys intuition, is full of examples, and is comprehensive in its coverage. Professionals will find valuable insights in the authors' treatment of advanced topics; students will value the careful organization and presentation of ideas. I recommend it very highly indeed."
--Krishna Ramaswamy Edward Hopkinson, Jr., Professor of Investment Banking, The Wharton School, University of Pennsylvania

"This is a great reference book for fixed income students and practitioners alike, which seamlessly combines mathematical concepts with practical applications."
--Kostas Pantazopoulos Global Head of Interest Rate Products, Goldman Sachs

Pt. 1 The Relative Pricing of Traditional Fixed Income Securities 1
Ch. 1 Bond Prices and Discount Factors 3
Ch. 2 Bond Prices and Interest Rates: Spot and Forward 15
Ch. 3 Yield-to-Maturity 31
Ch. 4 Real Data Issues 39
Pt. 2 The Relative Pricing of Interest Rate Contingent Claims 61
Ch. 5 An Introduction to Arbitrage-Free Pricing of Derivatives 65
Ch. 6 Risk-Neutral Pricing 71
Ch. 7 Arbitrage-Free Pricing in a Realistic Setting 75
Ch. 8 The Art of Term-Structure Modeling 85
Ch. 9 Equilibrium vs. Arbitrage-Free Models 107
Pt. 3 Measures of Price Sensitivity 111
Ch. 10 The Price-Rate Function and its Derivative 113
Ch. 11 Measures of Price Sensitivity 119
Ch. 12 Macaulay and Modified Duration 135
Ch. 13 Key Rate Durations 153
Pt. 4 Selected Applications 163
Ch. 14 Forward and Futures Contracts 165
Ch. 15 Floaters and Inverse Floaters 183
Ch. 16 Interest Rate Swaps 187
Ch. 17 The Options Embedded in Corporate Bonds 197
Ch. 18 Mortgage-Backed Securities 223
References
Index

"An up-to-date look at the most important issues surrounding fixed income securitiesFixed-income securities traditionally promised fixed cash flows (like bonds), but with recent innovations in this field, including products for which the promised cash flows depend on the level of interest rates, a new understanding of this subject is needed. That's why Bruce Tuckman and Angel Serrat have returned to create the Third Edition of Fixed Income Securities. Considered the go-to-guide for information on fixed income securities, this latest edition covers the most advanced thinking in the field and comprehensively shows how to value the complete universe of fixed income securities. Included are all the latest fixed income securities valuation models and techniques, as well as expert insights on their applications in real-world situations. The Third Edition also contains two new chapters dedicated to foreign exchange markets and corporate bonds, and credit-default swaps. Reflects the most current thinking on valuation and modeling of fixed income securities Includes examples, applications, and case studies to illustrate the practical uses of difficult concepts Follows a modern approach to fixed income application and risk control A companion Workbook is also available so you can hone your skills and test the knowledge you've gained from the actual text Fixed Income Securities, Third Edition approaches a theoretically demanding field from the working professional's point of view. From swaps and options to spreads of spreads and basis trades, this hands-on guide goes straight to the heart of fixed income knowledge and provides a template for trading and investing in the twenty-first-century marketplace"--