Description
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 low and negative rates; monetary policy with abundant reserves; and the increasing electronification of markets * 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 Preface Overview Chapter 1 Prices, 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 Their 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 Options Appendices Index
