The Resource Fixed Income Securities : Tools for Today's Markets, (electronic resource)

Fixed Income Securities : Tools for Today's Markets, (electronic resource)

Label
Fixed Income Securities : Tools for Today's Markets
Title
Fixed Income Securities
Title remainder
Tools for Today's Markets
Creator
Subject
Genre
Language
eng
Summary
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 Paribas"This is an extremely readable book with a balance between technical detail and practical application. Unlike other books in the area, thorough and tightly knit chapters reflect Tuckman s unique background as a well-respected academic and market participant." Tony D. Kao, Managing Director, Global Fixed Income GM Asset Management
Member of
Cataloging source
AU-PeEL
http://library.link/vocab/creatorName
Tuckman, Bruce
Dewey number
332.632044
LC call number
HG4650 -- .T83 2002eb
Nature of contents
dictionaries
Series statement
Wiley Finance
Series volume
v.167
http://library.link/vocab/subjectName
  • Fixed-income securities
  • Securities
Label
Fixed Income Securities : Tools for Today's Markets, (electronic resource)
Link
http://umanitoba.eblib.com/patron/FullRecord.aspx?p=140132
Instantiates
Publication
Note
Description based upon print version of record
Contents
  • Fixed Income Securities Tools for Today's Markets Second Edition; CONTENTS; 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 RatesMaturity 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; Bad Days; Introduction to Curve Fitting; Piecewise Cubics
  • APPLICATION: Fitting the Term Structure in the U.S. Treasury Market on February 15, 2001TRADING CASE STUDY: A 7s-8s-9s Butterfly; APPENDIX 4A Continuous Compounding; APPENDIX 4B A Simple Cubic Spline; PART TWO Measures of Price Sensitivity and Hedging; CHAPTER 5 One-Factor Measures of Price Sensitivity; DV01; A Hedging Example, Part I: Hedging a Call Option; Duration; Convexity; A Hedging Example, Part II: A Short Convexity Position; Estimating Price Changes and Returns with DV01, Duration, and Convexity; Convexity in the Investment and Asset-Liability Management Contexts
  • Measuring the Price Sensitivity of PortfoliosA Hedging Example, Part III: The Negative Convexity of Callable Bonds; CHAPTER 6 Measures of Price Sensitivity Based on Parallel Yield Shifts; Yield-Based DV01; Modified and Macaulay Duration; Zero Coupon Bonds and a Reinterpretation of Duration; Par Bonds and Perpetuities; Duration, DV01, Maturity, and Coupon: A Graphical Analysis; Duration, DV01, and Yield; Yield-Based Convexity; Yield-Based Convexity of Zero Coupon Bonds; The Barbell versus the Bullet; CHAPTER 7 Key Rate and Bucket Exposures; Key Rate Shifts; Key Rate 01s and Key Rate Durations
  • Hedging with Key Rate ExposuresChoosing Key Rates; Bucket Shifts and Exposures; Immunization; Multi-Factor Exposures and Risk Management; CHAPTER 8 Regression-Based Hedging; Volatility-Weighted Hedging; One-Variable Regression-Based Hedging; Two-Variable Regression-Based Hedging; TRADING CASE STUDY: The Pricing of the 20-Year U.S. Treasury Sector; A Comment on Level Regressions; PART THREE Term Structure Models; CHAPTER 9 The Science of Term Structure Models; Rate and Price Trees; Arbitrage Pricing of Derivatives; Risk-Neutral Pricing; Arbitrage Pricing in a Multi-Period Setting
  • Example: Pricing a CMT Swap
Dimensions
unknown
Edition
2nd ed.
Extent
1 online resource (530 p.)
Form of item
electronic
Isbn
9780471356158
Specific material designation
remote
System control number
  • EBL140132
  • (OCoLC)51224713
  • (AU-PeEL)EBL140132
Label
Fixed Income Securities : Tools for Today's Markets, (electronic resource)
Link
http://umanitoba.eblib.com/patron/FullRecord.aspx?p=140132
Publication
Note
Description based upon print version of record
Contents
  • Fixed Income Securities Tools for Today's Markets Second Edition; CONTENTS; 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 RatesMaturity 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; Bad Days; Introduction to Curve Fitting; Piecewise Cubics
  • APPLICATION: Fitting the Term Structure in the U.S. Treasury Market on February 15, 2001TRADING CASE STUDY: A 7s-8s-9s Butterfly; APPENDIX 4A Continuous Compounding; APPENDIX 4B A Simple Cubic Spline; PART TWO Measures of Price Sensitivity and Hedging; CHAPTER 5 One-Factor Measures of Price Sensitivity; DV01; A Hedging Example, Part I: Hedging a Call Option; Duration; Convexity; A Hedging Example, Part II: A Short Convexity Position; Estimating Price Changes and Returns with DV01, Duration, and Convexity; Convexity in the Investment and Asset-Liability Management Contexts
  • Measuring the Price Sensitivity of PortfoliosA Hedging Example, Part III: The Negative Convexity of Callable Bonds; CHAPTER 6 Measures of Price Sensitivity Based on Parallel Yield Shifts; Yield-Based DV01; Modified and Macaulay Duration; Zero Coupon Bonds and a Reinterpretation of Duration; Par Bonds and Perpetuities; Duration, DV01, Maturity, and Coupon: A Graphical Analysis; Duration, DV01, and Yield; Yield-Based Convexity; Yield-Based Convexity of Zero Coupon Bonds; The Barbell versus the Bullet; CHAPTER 7 Key Rate and Bucket Exposures; Key Rate Shifts; Key Rate 01s and Key Rate Durations
  • Hedging with Key Rate ExposuresChoosing Key Rates; Bucket Shifts and Exposures; Immunization; Multi-Factor Exposures and Risk Management; CHAPTER 8 Regression-Based Hedging; Volatility-Weighted Hedging; One-Variable Regression-Based Hedging; Two-Variable Regression-Based Hedging; TRADING CASE STUDY: The Pricing of the 20-Year U.S. Treasury Sector; A Comment on Level Regressions; PART THREE Term Structure Models; CHAPTER 9 The Science of Term Structure Models; Rate and Price Trees; Arbitrage Pricing of Derivatives; Risk-Neutral Pricing; Arbitrage Pricing in a Multi-Period Setting
  • Example: Pricing a CMT Swap
Dimensions
unknown
Edition
2nd ed.
Extent
1 online resource (530 p.)
Form of item
electronic
Isbn
9780471356158
Specific material designation
remote
System control number
  • EBL140132
  • (OCoLC)51224713
  • (AU-PeEL)EBL140132

Library Locations

  • Albert D. Cohen Management LibraryBorrow it
    181 Freedman Crescent, Winnipeg, MB, R3T 5V4, CA
    49.807878 -97.129961
  • Architecture/Fine Arts LibraryBorrow it
    84 Curry Place, Winnipeg, MB, CA
    49.807716 -97.136226
  • Archives and Special CollectionsBorrow it
    25 Chancellors Circle (Elizabeth Dafoe Library), Room 330, Winnipeg, MB, R3T 2N2, CA
    49.809961 -97.131878
  • Bibliothèque Alfred-Monnin (Université de Saint-Boniface)Borrow it
    200, avenue de la Cathédrale, Local 2110, Winnipeg, MB, R2H 0H7, CA
    49.888861 -97.119735
  • Bill Larson Library (Grace Hospital)Borrow it
    300 Booth Drive, G-227, Winnipeg, MB, R3J 3M7, CA
    49.882400 -97.276436
  • Carolyn Sifton - Helene Fuld Library (St. Boniface General Hospital)Borrow it
    409 Tache Avenue, Winnipeg, MB, R2H 2A6, CA
    49.883388 -97.126050
  • Concordia Hospital LibraryBorrow it
    1095 Concordia Avenue, Winnipeg, MB, R2K 3S8, CA
    49.913252 -97.064683
  • Donald W. Craik Engineering LibraryBorrow it
    75B Chancellors Circle (Engineering Building E3), Room 361, Winnipeg, MB, R3T 2N2, CA
    49.809053 -97.133292
  • E.K. Williams Law LibraryBorrow it
    224 Dysart Road, Winnipeg, MB, R3T 5V4, CA
    49.811829 -97.131017
  • Eckhardt-Gramatté Music LibraryBorrow it
    136 Dafoe Road (Taché Arts Complex), Room 257, Winnipeg, MB, R3T 2N2, CA
    49.807964 -97.132222
  • Elizabeth Dafoe LibraryBorrow it
    25 Chancellors Circle, Winnipeg, MB, R3T 2N2, CA
    49.809961 -97.131878
  • Fr. H. Drake Library (St. Paul's College)Borrow it
    70 Dysart Road, Winnipeg, MB, R3T 2M6, CA
    49.810605 -97.138184
  • J.W. Crane Memorial Library (Deer Lodge Centre)Borrow it
    2109 Portage Avenue, Winnipeg, MB, R3J 0L3, CA
    49.878000 -97.235520
  • Libraries Annex (not open to the public; please see web page for details)Borrow it
    25 Chancellors Circle (in the Elizabeth Dafoe Library), Winnipeg, MB, R3T 2N2, CA
    49.809961 -97.131878
  • Neil John Maclean Health Sciences LibraryBorrow it
    727 McDermot Avenue (Brodie Centre), 200 Level, Winnipeg, MB, R3E 3P5, CA
    49.903563 -97.160554
  • Sciences and Technology LibraryBorrow it
    186 Dysart Road, Winnipeg, MB, R3T 2M8, CA
    49.811526 -97.133257
  • Seven Oaks General Hospital LibraryBorrow it
    2300 McPhillips Street, Winnipeg, MB, R2V 3M3, CA
    49.955177 -97.148865
  • Sister St. Odilon Library (Misericordia Health Centre)Borrow it
    99 Cornish Avenue, Winnipeg, MB, R3C 1A2, CA
    49.879592 -97.160425
  • St. John's College LibraryBorrow it
    92 Dysart Road, Winnipeg, MB, R3T 2M5, CA
    49.811242 -97.137156
  • Victoria General Hospital LibraryBorrow it
    2340 Pembina Highway, Winnipeg, MB, R3T 2E8, CA
    49.806755 -97.152739
  • William R Newman Library (Agriculture)Borrow it
    66 Dafoe Road, Winnipeg, MB, R3T 2R3, CA
    49.806936 -97.135525
Processing Feedback ...