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PRAISE FOR PRAISE FOR FIXED INCOME SECURITIES

“This eagerly awaited update of the classic fixed income textbook presents clear, well-organized analytics and a treasure trove of global institutional detail and historical context.”

―JENNIFER CARPENTER, Professor of Finance, NYU Stern School of Business

“Fixed Income Securities is the go-to textbook on the subject, and will remain so because of this comprehensive revision. Tuckman and Serrat make their world-leading knowledge accessible and lively. There is no substitute for this modern and expert blend of institutional knowledge, conceptual frameworks, and quantitative models.”

―DARRELL DUFFIE, The Adams Distinguished Professor of Management and Professor of Finance, Stanford Graduate School of Business

“This masterfully crafted book provides the perfect blend of intuition, foundational principles, insightful examples, and market insights. It provides a comprehensive introduction to every aspect of the fixed income markets in a way that makes it both a pleasure to read and an essential reference for anyone interested in learning about these securities. I strongly recommend this classic.”

―FRANCIS LONGSTAFF, Distinguished Professor of Finance, Allstate Chair in Insurance and Finance, UCLA Anderson School of Management

“This book stands out by its detailed description of instruments―without compromising on theory―and by the richness of the illustrations and applications sprinkled throughout the book. The authors’ credentials are clearly impeccable, both in training and experience at the cutting edge of fixed income markets. This is a must read for practitioners interested in understanding how these markets function.”

―RAVI K. MATTU, Global Head of Analytics, PIMCO

“This edition of Fixed Income Securities includes analysis of many new fixed income concepts and instruments, brought to life with excellent commentary and real-world examples. It is an essential guide for any practitioner trying to understand the significant evolution of the fixed income market over the past decade.”

―JEFFREY MELI, Head of Research, Barclays Investment Bank

“Fixed Income Securities covers everything from classical methods to original new research relevant to the theory and practice of fixed income trading and risk management. Examples are worked through including practical estimation techniques. This book will be extremely useful to new and seasoned professionals.”

―ANDREW MORTON, Global Head of Markets, Citi

"Fixed Income Securities is excellent, seamlessly combining theory and experience to make the global fixed-income markets come alive for students and practitioners. The fourth edition updates multiple examples and adds context to conceptual presentations. 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 Economic Sciences, Frank E. Buck Professor of Finance, Emeritus, Graduate School of Business, Stanford University

Preface

List of Arcronyms

CHAPTER 0
Overview

CHAPTER 1
Prrices, Discount Factors, and Arbitrage

CHAPTER 2
Swap, Spot, and Forward Rates

CHAPTER 3
Returns, Yields, Spreads, and P&L Attribution

CHAPTER 4
DV01, Duration, and Convexity

CHAPTER 5
Key-Rate, Partial, and Forward-Bucket '01s and Durations

CHAPTER 6
Regression Hedging and Principal Component Analysis

CHAPTER 7
Arbitrage Pricing with Term Structure Models

CHAPTER 8
Expectations, Risk Premium. Convexity, and the Shape of the Term Structure

CHAPTER 9
The Vasicek and Gauss+ Models

CHAPTER 10
Repurchase Agreements and Financing

CHAPTER 11
Note and Bond Futures

CHAPTER 12
Short-Term Rates and Thieir Derivatives

CHAPTER 13
Interest Rate Swaps

CHAPTER 14
Corporate Debt and Credit Default Swaps

CHAPTER 15
Mortgages and Mortgage-Backed Securities

CHAPTER 16
Fixed income Option

APPENDNIX TO CHAPTER 1
Pricesm Discount Factors, and Arbitrage

APPENDIX TO CHAPTER 2
Swap, Spot, and Forward Rates

APPNEDNIX TO CHAPTER 3
Returns, Yields, Spreads, and P&L Attribution

APPENDIX TO CHAPTER 4
DV01, Duration, and Convexity

APPENDIX TO CHAPTER 6
Regression Hedging and Principal Component Analysis

APPENDIX TO CHAPTER 8
Expectations, Risk Premium, Covexity and the Shape of the Term Structure

APPENDIX TO CHAPTER 9
The Vasicek and Gauss+Models

APPENDIX TO CHAPTER 11
Note and Bond Futures

APPENDIX TO CHAPTER 12
Short-Term Rates and Their Derivatives

APPENDIX TO CHAPTER 13
Interest Rate Swaps

APPENDIX TO CHAPTER 14
Corporate Debt and Credit Default Swaps

APPENDIX TO CHAPTER 15
Mortgages and Mortgage-Backed Securities

APPENDIX TO CHAPTER 16
Fixed Income Options

About the Website

Index

Build or brush up on the foundation you need to be a sophisticated fixed income professional with this proven book

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.

Appearing a decade after its predecessor, this long-awaited Fourth Edition is comprehensively revised with:

An up-to-date overview, including monetary policy with abundant reserves and the increasing electronification of market
All new examples, applications, and case studies, including lessons from market upheavals through the pandemic
New material on fixed income asset management
The global transition from LIBOR to SOFR and other rates