Fixed income securities : tools for today’s markets, second edition, university edition固定收入证券：今日市场的工具 第2版
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作者： Bruce Tuckman著
出 版 社： 吉林长白山
出版时间： 2002-8-1字数：版次： 1页数： 512印刷时间： 2002/08/01开本： 16开印次： 1纸张： 胶版纸I S B N ： 9780471063223包装： 平装编辑推荐
作者简介：
BRUCE TUCKMAN, PhD, is a Managing Director in the Fixed Income and Derivatives Division of Credit Suisse First Boston. After receiving his doctorate in economics from MIT, he became a professor of finance at New York University’s Stern School of Business and a visiting professor at UCLA’s Anderson Graduate School of Management. He began his Wall Street career at Salomon Brothers’ Fixed Income Proprietary Trading Group.
内容简介
Includes a series of end-of-chapter questions for students.
Explains the subtleties of fixed income mathematics.
Discusses multi-factor interest rate models and offers four original case studies.
Covers the latest fixed income securities valuation models and techniques, and their application in real world situations.
目录
INTRODUCTION
ACKNOWLEDGMENTS
PART ONE: THE RELATIVE PRICING OF FIXED INCOME SECURITIES WITH FIXED CASH FLOWS
CHAPTER 1: Bond Prices, Discount Factors, and Arbitrage
CHAPTER 2: Bond Prices, Spot Rates, and Forward Rates
CHAPTER 3: Yield-to-Maturity 、
CHAPTER 4: Generalizations and Curve Fitting
PART TWO Measures of Price Sensitivity adn hedging
CHAPTER 5: One-Factor Measures of Price Sensitivity
CHAPTER 6: Measures of Price Sensitivity Based on Parallel Yield Shifts
CHAPTER 7: Key Rate and Bucket Exposures
CHAPTER 8: Regression-Based Hedging
PART THREE Term Structure Models
CHAPTER 9: The Science of Term Structure Models
CHAPTER 10: The Short-Rate Process and the Shape of the Term Structure
CHAPTER 11: The Art of Term Structure Models: Drift
CHAPTER 12: The Art of Term Structure Models: Volatility and Distribution
CHAPTER 13: Multi-Factor Term Structure Models
CHAPTER 14: Trading with Term Structure Models
PART FOUR Selected Securities
CHAPTER 15: Repo
CHAPTER 16: Forward Contracts
CHAPTER 17: Eurodollar and Fed Funds Futures
CHAPTER 18: Interest Rate Swaps
CHAPTER 19: Fixed Income Options
CHAPTER 20: Note and Bond Futures
CHAPTER 21: Mortgage-Backed Securities
EXERCISES
REFERENCES AND SUGGESTIONS FOR FURTHER READING
INDEX
