Fixed Income Securities
Tools for Today's Markets, Third Edition
and Angel Serrat
Fixed income practitioners need to understand the conceptual frameworks
of their field; to master its quantitative tool-kit; and to be well-versed
in its cash-flow and pricing conventions. Fixed Income Securities,
Third Edition by Bruce Tuckman and Angel Serrat is designed to balance
these three objectives. The book presents theory without unnecessary
abstraction; quantitative techniques with a minimum of mathematics;
and conventions at a useful level of detail.
The book begins with an overview of
global fixed income markets and continues with the fundamentals, namely,
arbitrage pricing, interest rates, risk metrics, and term structure
models to price contingent claims. Subsequent chapters cover individual
markets and securities: repo, rate and bond forwards and futures, interest
rate and basis swaps, credit markets, fixed income options, and mortgage-backed-securities.
Fixed Income Securities, Third Edition is
full of examples, applications, and case studies. Practically every
quantitative concept is illustrated through real market data. This practice-oriented
approach makes the book particularly useful for the working professional.
This third edition is a considerable
revision and expansion of the second. Most examples have been updated.
The chapters on fixed income options and mortgage-backed securities
have been considerably expanded to include a broader range of securities
and valuation methodologies. Also, three new chapters have been added:
the global overview of fixed income markets; a chapter on corporate
bonds and credit default swaps; and a chapter on discounting with bases,
which is the foundation for the relatively recent practice of discounting
swap cash flows with curves based on money market rates.
Tuckman holds a PhD in economics from MIT and began
his career as a professor of finance at New York University's Stern
School of Business. Moving to the industry, he became a managing director
at Salomon Brothers' Fixed Income Proprietary Trading Group; ran research
groups at Credit Suisse and Lehman Brothers; and, for the Prime Services
Division at Barclays Capital, was global head of research and an executive
committee member. He is now the Director of Financial Markets Research
at the Center for Financial Stability.
Angel Serrat holds a PhD in finance
from MIT. Prior to joining the industry, he was a member of the finance
faculty at The University of Chicago's Graduate School of Business.
He has published in journals including The Review of Economic Studies,
The Review of Financial Studies, and Econometrica. He was an executive
director of strategy groups at Goldman Sachs and Credit Suisse, and
later became a managing director at JPMorgan's global proprietary positioning
business as a portfolio manager and head of strategy. He is currently
a partner at Capula Investment Management, a fixed income asset management
University Edition Available
This book is also available in
a University Edition paperback featuring
chapter review exercises that aid students in the comprehension and
application of key concepts.
Buy the book