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作　者：	Bruce Tuckman
出版社：	吉林长白山
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版权说明：	本书为公共版权或经版权方授权，请支持正版图书
标　签：	暂缺

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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

内容简介

Praise for Fixed Income Securities， Second Edition "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 Research， Merrill Lynch "This outstanding book offers a well-written and clear tutorial for many of the cutting-edge analytical techniques and models used in practice. Combines a wealth of institutional knowledge， practical tools， and realistic examples， while giving a clear understanding of the underlying theory." Francis Longstaff， Professor of Finance， The Anderson School at UCLA "An excellent reference for anyone intending to bridge the gap between financial mathematics theory and the practice of financial markets." Marek Musiela， BNP Parib...

图书目录

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 and 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