Fixed Income Securities: Tools for Today’s Markets - Tuckman

From the very first sentences of Fixed Income Securities, Second Edition, author and fixed income veteran Bruce Tuckman explains what makes his book so refreshingly straightforward. Tuckman provides an in-depth examination of the pricing and hedging of fixed income securities–a necessarily complex and calculation-heavy subject–without cutting corners or overlooking crucial concepts. Yet he explains it in terms that all investors, traders, and financial professionals can understand.

Fixed Income Securities, Second Edition presents the essential concepts and tools developed by today’s most renowned and respected practitioners and academics, from convexity and the futures-forward difference through mean reversion and risk premium to arbitrage and risk-neutral pricing. Employing a step-by-step and user-friendly strategy to explain one of the financial world’s most complex and competitive fields, Fixed Income Securities, Second Edition addresses many important topics on the pricing and hedging of fixed income securities, including Spot and Forward Interest Rates, Curve Fitting, Duration and Partial Durations, the Shape of the Term Structure, Short-Rate Models, Special Financing, Delivery Options, Floating Cash Flows, the Prepayment Option, and more.

Fixed Income Securities, Second Edition approaches a theoretically demanding field from the working professional’s point of view. This Second Edition adds a myriad of examples, applications, and case studies to illustrate the practical uses of difficult concepts. From swaps and options to butterfly spreads, spreads of spreads, and basis trades, this hands-on guide goes straight to the heart of fixed income knowledge and provides a template for trading and investing in the twenty-first-century marketplace.

  • Level: Basic+
  • Major Topics: T11
  • Minor Topics: T12, T22, T42


Book Resources

Teacher's manual which provides chapter descriptions and transparencies, question and answer section to facilitate in-class discussion and self-study, Teacher's Resource Guide (University edition)

Table of Contents

Part I. The Relative Pricing of Fixed Income Securities with Fixed Cash Flows
1. Bond Prices, Discount Factors, and Arbitrage
2. Bond Prices, Spot Rates, and Forward Rates
3. Yield-to-Maturity
4. Generalizations and Curve Fitting

Part II. Measures of Price Sensitivity and Hedging
5. One-Factor Measures of Price Sensitivity
6. Measures of Price Sensitivity Based on Parallel Yield Shifts
7. Key Rate and Bucket Exposures
8. Regression-Based Hedging

Part III. Term Structure Models
9. The Science of Term Structure Models
10. The Short-Rate Process and the Shape of the Term Structure
11. The Art of Term Structure Models: Drift
12. The Art of Term Structure Models: Volatility and Distribution
13. Multi-Factor Term Structure Models
14. Trading with Term Structure Models

Part IV. Selected Securities
15. Repo
16. Forward Contracts
17. Eurodollar and Fed Funds Futures
18. Interest Rate Swamps
19. Fixed Income Options
20. Note and Bond Futures
21. Mortgage-Backed Securities…read more