Fixed Income Securities

BRUCE TUCKMAN is a Clinical Professor of Finance at New York University’s Stern School of Business, where he teaches fixed income and derivatives to undergraduates and MBAs. He ran research groups as a Managing Director at major investment banks for 15 years and recently served as Chief Economist of the Commodity Futures Trading Commission. He received his PhD in Economics from MIT. ANGEL SERRAT is Head of Quantitative Investments at the fixed income department of Abu Dhabi Investment Authority (ADIA). He started an academic career at the University of Chicago and moved to industry in 1999. He held strategy and trading positions at Goldman Sachs, JP Morgan, and Capula Investment Management, where he was a partner and Chief Strategist. He holds a PhD from MIT.

• Preface ixList of Acronyms xiChapter 0 Overview 1Chapter 1 Prices, Discount Factors, and Arbitrage 49Chapter 2 Swap, Spot, and Forward Rates 65Chapter 3 Returns, Yields, Spreads, and P&L Attribution 79Chapter 4 DV01, Duration, and Convexity 103Chapter 5 Key-Rate, Partial, and Forward-Bucket ‘01s and Durations 135Chapter 6 Regression Hedging and Principal Component Analysis 153Chapter 7 Arbitrage Pricing with Term Structure Models 177Chapter 8 Expectations, Risk Premium, Convexity, and the Shape of the Term Structure 197Chapter 9 The Vasicek and Gauss+ Models 205Chapter 10 Repurchase Agreements and Financing 223Chapter 11 Note and Bond Futures 249Chapter 12 Short-Term Rates and Their Derivatives 289Chapter 13 Interest Rate Swaps 319Chapter 14 Corporate Debt and Credit Default Swaps 347Chapter 15 Mortgages and Mortgage-Backed Securities 395Chapter 16 Fixed Income Options 433Appendix to Chapter 1 Prices, Discount Factors, and Arbitrage 453Appendix to Chapter 2 Swap, Spot, and Forward Rates 457Appendix to Chapter 3 Returns, Yields, Spreads, and P&L Attribution 463Appendix to Chapter 4 DV01, Duration, and Convexity 467Appendix to Chapter 6 Regression Hedging and Principal Component Analysis 469Appendix to Chapter 8 Expectations, Risk Premium, Convexity and the Shape of the Term Structure 477Appendix to Chapter 9 The Vasicek and Gauss+ Models 479Appendix to Chapter 11 Note and Bond Futures 491Appendix to Chapter 12 Short-Term Rates and Their Derivatives 497Appendix to Chapter 13 Interest Rate Swaps 501Appendix to Chapter 14 Corporate Debt and Credit Default Swaps 505Appendix to Chapter 15 Mortgages and Mortgage-Backed Securities 509Appendix to Chapter 16 Fixed Income Options 513About the Website 527Index 529