Lýsing:
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.
Annað
- Höfundur: Bruce Tuckman
- Útgáfa:4
- Útgáfudagur: 2022-08-26
- Engar takmarkanir á útprentun
- Engar takmarkanir afritun
- Format:ePub
- ISBN 13: 9781119835592
- Print ISBN: 9781119835554
- ISBN 10: 1119835593
Efnisyfirlit
- Cover
- Title Page
- Copyright
- Preface
- EXTENDED EXAMPLES, APPLICATIONS, AND CASES
- List of Acronyms
- CHAPTER 0: Overview
- 0.1 GLOBAL FIXED INCOME MARKETS
- 0.2 US MARKETS
- 0.3 US MARKET PARTICIPANTS
- 0.4 MONETARY POLICY WITH ABUNDANT RESERVES
- 0.5 NEGATIVE RATES AND QE IN EUROPE AND JAPAN
- 0.6 TRADING AND LIQUIDITY
- NOTES
- CHAPTER 1: Prices, Discount Factors, and Arbitrage
- 1.1 GOVERNMENT COUPON BONDS
- 1.2 DISCOUNT FACTORS
- 1.3 THE LAW OF ONE PRICE
- 1.4 ARBITRAGE AND THE LAW OF ONE PRICE
- 1.5 APPLICATION: IDIOSYNCRATIC PRICING OF TREASURY STRIPS
- 1.6 ACCRUED INTEREST
- 1.7 DAY‐COUNT CONVENTIONS
- NOTES
- CHAPTER 2: Swap, Spot, and Forward Rates
- 2.1 INTEREST RATE QUOTATIONS
- 2.2 INTEREST RATE SWAPS
- 2.3 PRICING INTEREST RATE SWAPS
- 2.4 SPOT RATES
- 2.5 FORWARD RATES
- 2.6 RELATIONSHIPS BETWEEN SWAP, SPOT, AND FORWARD RATES
- CHAPTER 3: Returns, Yields, Spreads, and P&L Attribution
- 3.1 REALIZED RETURNS
- 3.2 YIELD TO MATURITY
- 3.3 YIELD AND RETURN
- 3.4 YIELD AND RELATIVE VALUE
- 3.5 SPREADS
- 3.6 APPLICATION: SPREADS OF HIGH‐COUPON TREASURIES
- 3.7 UNCHANGED RATE SCENARIOS FOR P&L ATTRIBUTION
- 3.8 P&L ATTRIBUTION
- NOTES
- CHAPTER 4: DV01, Duration, and Convexity
- 4.1 PRICE–RATE CURVES
- 4.2 DV01
- 4.3 HEDGING A CENTURY BOND: PART I
- 4.4 DURATION
- 4.5 CONVEXITY
- 4.6 HEDGING A CENTURY BOND: PART II
- 4.7 YIELD‐BASED DV01, DURATION, AND CONVEXITY
- 4.8 THE BARBELL VERSUS THE BULLET
- NOTES
- CHAPTER 5: Key‐Rate, Partial, and Forward‐Bucket '01s and Durations
- 5.1 KEY RATES: MOTIVATION
- 5.2 KEY RATES: OVERVIEW
- 5.3 KEY RATES: SHIFTS
- 5.4 KEY RATES: '01S, DURATIONS, AND HEDGING
- 5.5 PARTIAL '01S AND PV01
- 5.6 FORWARD‐BUCKET '01S
- 5.7 MULTI‐FACTOR EXPOSURES AND PORTFOLIO VOLATILITY
- NOTES
- CHAPTER 6: Regression Hedging and Principal Component Analysis
- 6.1 SINGLE‐VARIABLE REGRESSION HEDGING
- 6.2 TWO‐VARIABLE REGRESSION HEDGING
- 6.3 LEVEL VERSUS CHANGE REGRESSIONS
- 6.4 REVERSE REGRESSIONS
- 6.5 PRINCIPAL COMPONENT ANALYSIS
- NOTES
- CHAPTER 7: Arbitrage Pricing with Term Structure Models
- 7.1 RATE AND PRICE TREES
- 7.2 ARBITRAGE PRICING OF DERIVATIVES
- 7.3 RISK‐NEUTRAL PRICING
- 7.4 ARBITRAGE PRICING IN A MULTI‐PERIOD SETTING
- 7.5 PRICING A CONSTANT‐MATURITY TREASURY SWAP
- 7.6 OPTION‐ADJUSTED SPREAD
- 7.7 PROFIT AND LOSS ATTRIBUTION WITH AN OAS
- 7.8 REDUCING THE TIME STEP
- 7.9 FIXED INCOME VERSUS EQUITY DERIVATIVES
- NOTE
- CHAPTER 8: Expectations, Risk Premium, Convexity, and the Shape of the Term Structure
- 8.1 EXPECTATIONS
- 8.2 VOLATILITY AND CONVEXITY
- 8.3 AN ANALYTICAL DECOMPOSITION OF FORWARD RATES
- NOTE
- CHAPTER 9: The Vasicek and Gauss+ Models
- 9.1 THE VASICEK MODEL
- 9.2 THE GAUSS+ MODEL
- 9.3 A PRACTICAL ESTIMATION METHOD
- 9.4 RELATIVE VALUE AND MACRO‐STYLE TRADING WITH THE GAUSS+ MODEL
- NOTES
- CHAPTER 10: Repurchase Agreements and Financing
- 10.1 REPURCHASE AGREEMENTS
- 10.2 USES OF REPURCHASE AGREEMENTS
- 10.3 MARKET STRUCTURE AND SIZE
- 10.4 SOFR
- 10.5 GC AND SPECIAL REPO RATES
- 10.6 LIQUIDITY MANAGEMENT AND CURRENT REGULATORY ISSUES
- 10.7 CASE STUDY: MF GLOBAL'S REPO‐TO‐MATURITY TRADES
- NOTES
- CHAPTER 11: Note and Bond Futures
- 11.1 FORWARD CONTRACTS AND FORWARD PRICES
- 11.2 FORWARD BOND YIELD
- 11.3 THE INTEREST RATE SENSITIVITY OF A FORWARD CONTRACT
- 11.4 MECHANICS OF US TREASURY NOTE AND BOND FUTURES
- 11.5 PRICING AND HEDGING IMPLICATIONS OF DAILY SETTLEMENT
- 11.6 COST OF DELIVERY AND THE FINAL SETTLEMENT PRICE
- 11.7 MOTIVATIONS FOR A DELIVERY BASKET AND CONVERSION FACTORS
- 11.8 THE QUALITY OPTION AT EXPIRATION
- 11.9 GROSS AND NET BASIS AND BASIS TRADES
- 11.10 IMPLIED REPO RATES
- 11.11 FUTURES PRICE AND THE QUALITY OPTION BEFORE EXPIRATION
- 11.12 THE TIMING, END‐OF‐MONTH, AND WILD‐CARD OPTIONS
- 11.13 CASE STUDY: BASIS TRADES IN MARCH 2020
- NOTES
- CHAPTER 12: Short‐Term Rates and Their Derivatives
- 12.1 SHORT‐TERM RATES AND THE TRANSITION FROM LIBOR
- 12.2 ONE‐MONTH SOFR FUTURES
- 12.3 FED FUND FUTURES
- 12.4 THREE‐MONTH SOFR FUTURES
- 12.5 EURIBOR FORWARD RATE AGREEMENTS AND FUTURES
- 12.6 THE FUTURES‐FORWARD DIFFERENCE
- NOTES
- CHAPTER 13: Interest Rate Swaps
- 13.1 MARKET SIZE AND PARTICIPANTS
- 13.2 IRS CASH FLOWS AND ANALYTICS
- 13.3 USES OF INTEREST RATE SWAPS
- 13.4 COUNTERPARTY CREDIT RISK
- 13.5 CLEARING AND CENTRAL COUNTERPARTIES
- 13.6 BASIS SWAPS
- NOTES
- CHAPTER 14: Corporate Debt and Credit Default Swaps
- 14.1 CORPORATE BONDS AND LOANS
- 14.2 DEFAULT RATES, RECOVERY RATES, AND CREDIT LOSSES
- 14.3 CREDIT SPREADS
- 14.4 CREDIT RISK PREMIUM
- 14.5 CREDIT DEFAULT SWAPS
- 14.6 CDS UPFRONT AMOUNTS
- 14.7 CDS‐EQUIVALENT BOND SPREAD
- 14.8 CDS‐BOND BASIS
- 14.9 HAZARD‐ADJUSTED DURATION AND DV01
- 14.10 SPREAD DURATION AND DV01
- 14.11 CDS SETTLEMENT AUCTIONS
- 14.12 OPPORTUNISTIC CDS STRATEGIES
- 14.13 CASE STUDY: THE LONDON WHALE
- NOTES
- CHAPTER 15: Mortgages and Mortgage‐Backed Securities
- 15.1 THE MORTGAGE MARKET IN THE UNITED STATES
- 15.2 FIXED‐RATE MORTGAGE LOANS
- 15.3 ADJUSTABLE‐RATE MORTGAGES
- 15.4 PREPAYMENTS
- 15.5 MORTGAGE POOLS
- 15.6 PREPAYMENT MODELING
- 15.7 MORTGAGE PRICING, SPREADS, AND DURATION
- 15.8 TBA AND SPECIFIED POOLS MARKETS
- 15.9 RISK FACTORS AND HEDGING AGENCY MBS
- 15.10 DOLLAR ROLLS
- 15.11 OTHER MBS
- 15.12 CREDIT RISK TRANSFER SECURITIES
- NOTES
- CHAPTER 16: Fixed Income Options
- 16.1 EMBEDDED BOND CALL OPTIONS
- 16.2 EURIBOR FUTURES OPTIONS
- 16.3 BOND FUTURES OPTIONS
- 16.4 CAPS AND FLOORS
- 16.5 SWAPTIONS
- 16.6 SWAPTION SKEW
- NOTES
- APPENDIX TO CHAPTER 1: Prices, Discount Factors, and Arbitrage
- A1.1 DERIVING REPLICATING PORTFOLIOS
- A1.2 THE EQUIVALENCE OF DISCOUNTING AND ARBITRAGE PRICING
- APPENDIX TO CHAPTER 2: Swap, Spot, and Forward Rates
- A2.1 CONTINUOUS COMPOUNDING
- A2.2 RELATIONSHIPS BETWEEN SWAP OR PAR, SPOT, AND FORWARD RATES
- APPENDIX TO CHAPTER 3: Returns, Yields, Spreads, and P&L Attribution
- A3.1 YIELD TO MATURITY FOR SETTLEMENT DATES OTHER THAN COUPON PAYMENT DATES
- A3.2 YIELD TO MATURITY AND EX‐POST RETURNS
- A3.3 REALIZED FORWARD SCENARIO
- APPENDIX TO CHAPTER 4: DV01, Duration, and Convexity
- A4.1 DV01, DURATION, AND CONVEXITY OF PORTFOLIOS
- A4.2 ESTIMATING PRICE CHANGE WITH DURATION AND CONVEXITY
- APPENDIX TO CHAPTER 6: Regression Hedging and Principal Component Analysis
- A6.1 REGRESSION HEDGES AND P&L VARIANCE
- A6.2 CONSTRUCTION OF PRINCIPAL COMPONENTS
- A6.3 CONSTRUCTION OF PC: MATHEMATICAL DETAILS
- NOTE
- APPENDIX TO CHAPTER 8: Expectations, Risk Premium, Convexity and the Shape of the Term Structure
- NOTE
- APPENDIX TO CHAPTER 9: The Vasicek and Gauss+ Models
- A9.1 THE VASICEK MODEL IN A BINOMIAL TREE
- A9.2 THE GAUSS+ MODEL
- NOTES
- APPENDIX TO CHAPTER 11: Note and Bond Futures
- A11.1 FORWARD DROP APPROXIMATELY EQUALS CASH CARRY
- A11.2 FORWARD VERSUS FUTURES PRICES IN A TERM STRUCTURE MODEL
- A11.3 THE FUTURES‐FORWARD DIFFERENCE
- A11.4 FUTURES DELIVERY OPTIONS IN A TERM STRUCTURE MODEL
- APPENDIX TO CHAPTER 12: Short‐Term Rates and Their Derivatives
- APPENDIX TO CHAPTER 13: Interest Rate Swaps
- A13.1 PRICING A EURIBOR SWAP AS OF FEBRUARY 24, 2022
- A13.2 TWO‐CURVE PRICING
- APPENDIX TO CHAPTER 14: Corporate Debt and Credit Default Swaps
- A14.1 CUMULATIVE DEFAULT AND SURVIVAL RATES
- A14.2 UPFRONT AMOUNTS
- A14.3 AN APPROXIMATION FOR CDS SPREADS
- A14.4 CDS‐EQUIVALENT BOND SPREADS
- A14.5 BOND SPREAD WITH MARKET RECOVERY
- APPENDIX TO CHAPTER 15: Mortgages and Mortgage‐Backed Securities
- A15.1 MONTH‐END BALANCES
- A15.2 PRICING MBS WITH TERM STRUCTURE MODELS
- NOTE
- APPENDIX TO CHAPTER 16: Fixed Income Options
- A16.1 THEORETICAL FOUNDATIONS FOR APPLYING BLACK‐SCHOLES‐MERTON (BSM) TO SELECTED FIXED INCOME OPTIONS
- A16.2 NUMERAIRES, PRICING MEASURES, AND THE MARTINGALE PROPERTY
- A16.3 CHOOSING THE NUMERAIRE AND BSM PRICING
- A16.4 EXPECTATIONS FOR BLACK‐SCHOLES‐MERTON STYLE OPTION PRICING
- A16.5 FUTURES PRICES ARE MARTINGALES WITH THE MONEY MARKET ACCOUNT AS A NUMERAIRE
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- End User License Agreement
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