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.
This university edition includes problems which students can use
to test and enhance their understanding of the text.
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