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Fixed income securities tools for today's markets

"An up-to-date look at the most important issues surrounding fixed income securities. Fixed-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 rat...

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Bibliographic Details
Main Authors: Tuckman, Bruce, Serrat, Angel (Author)
Format: eBook
Language:English
Published: Hoboken, NJ Wiley 2012
Edition:University edition /3rd edition
Subjects:
Business & Economics / Investments & Securities / General / Bisacsh
Securities / Http://id.loc.gov/authorities/subjects/sh85119463
Securities / Fast
Fixed-income Securities / Fast
Fixed-income Securities / Http://id.loc.gov/authorities/subjects/sh90004945
Online Access:
Collection: O'Reilly - Collection details see MPG.ReNa
Table of Contents:
  • Part 1. The Relative Pricing of Securities with Fixed Cash Flows. page 47
  • Chapter 1. Prices, Discount Factors, and Arbitrage. page 51
  • Chapter 2. Spot, Forward, and Par Rates. page 69
  • Chapter 3. Returns, Spreads, and Yields. page 95
  • Part 2. Measures of Interest Rate Risk and Hedging. page 119
  • Chapter 4. One-Factor Risk Metrics and Hedges. page 123
  • Chapter 5. Multi-Factor Risk Metrics and Hedges. page 153
  • Chapter 6. Empirical Approaches to Risk Metrics and Hedging. page 171
  • Part 3. Term Structure Models. page 201
  • Chapter 7. The Science of Term Structure Models. page 207
  • Chapter 8. The Evolution of Short Rates and the Shape of the Term Structure. page 229
  • Chapter 9. The Art of Term Structure Models: Drift. page 251
  • Chapter 10. The Art of Term Structure Models: Volatility and Distribution. page 275
  • Chapter 11. The Gauss+ and LIBOR Market Models. page 287
  • Part 4. Selected Securities and Topics. page 325
  • Chapter 12. Repurchase Agreements and Financing. page 327
  • Chapter 13. Forwards and Futures: Preliminaries. page 351
  • Chapter 14. Note and Bond Futures. page 373
  • Chapter 15. Short-Term Rates and Their Derivatives. page 401
  • Chapter 16. Swaps. page 435
  • Chapter 17. Arbitrage with Financing and Two-Curve Discounting. page 457
  • Chapter 18. Fixed income Options. page 483
  • Chapter 19. Corporate Bonds and Credit Default Swaps. page 527
  • Chapter 20. Mortgages and Mortgage-Backed Securities. page 563
  • Chapter 21. Curve Construction. page 591
  • Includes bibliographical references (pages 607-608) and index

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