Fixed Income Securities: Tools for Today's Markets, 2nd Edition

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Autor  Bruce; Suisse), Bruce Tuckman (credit
Idioma Ingles
Formato Soft cover
Editorial John Wiley & Sons
Edición y Año 2ª Edición 2002
ISBN  0471063223
Páginas 512

Sinopsis

"What distinguishes this book from many others on the subject is that Tuckman has skillfully combined intuitive rationale with mathematical analysis to give readers a clear and deep understanding of the market. Tuckman has written a comprehensive reference book that should be found on the desks of both seasoned practitioners and novices alike."
–Gerald Lucas, Senior Government Strategist
Director, Global Securities Rese

Tabla de contenidos

INTRODUCTION.

ACKNOWLEDGMENTS.

PART ONE: THE RELATIVE PRICING OF FIXED INCOME SECURITIES WITH FIXED CASH FLOWS.

CHAPTER 1: Bond Prices, Discount Factors, and Arbitrage.

The Time Value of Money.

Treasury Bond Quotations.

Discount Factors.

The Law of One Price.

Arbitrage and the Law of One Price.

Treasury STRIPS.

APPENDIX 1A: Deriving the Replicating Portfolio.

APPENDIX 1B: APPLICATION: Treasury Triplets and High Coupon Bonds.

CHAPTER 2: Bond Prices, Spot Rates, and Forward Rates.

Semiannual Compounding.

Spot Rates.

Forward Rates.

Maturity and Bond Price.

Maturity and Bond Return.

Treasury STRIPS, Continued.

APPENDIX 2A: The Relation between Spot and Forward Rates and the Slope of the Term Structure.

CHAPTER 3: Yield-to-Maturity.

Definition and Interpretation.

Yield-to-Maturity and Spot Rates.

Yield-to-Maturity and Relative Value: The Coupon Effect.

Yield-to-Maturity and Realized Return.

CHAPTER 4: Generalizations and Curve Fitting.

Accrued Interest.

Compounding Conventions.

Yield and Compounding Conventions.

Yield and Compounding Coventions.

Bad Days.

Introduction to Curve Fitting.

Piecewise Cubics.

APPLICATION: Fitting the Term Structure in the U.S. Treasury Market on February 15, 2001.

TRADING CASE STUDY: A 7s-8s-9s