Fixed Income Securities: Tools for Today's Markets

by Bruce Tuckman, Angel Serrat

Fixed income practitioners need to understand the conceptual frameworks of their field; to master its quantitative tool-kit; and to be well-versed in its cash-flow and pricing conventions. Fixed Income Securities, Third Edition by Bruce Tuckman and Angel Serrat is designed to balance these three objectives. The book presents theory without unnecessary abstraction; quantitative techniques with a minimum of mathematics; and conventions at a useful level of detail. The book begins with an overview of global fixed income markets and continues with the fundamentals, namely, arbitrage pricing, interest rates, risk metrics, and term structure models to price contingent claims. Subsequent chapters cover individual markets and repo, rate and bond forwards and futures, interest rate and basis swaps, credit markets, fixed income options, and mortgage-backed-securities. Fixed Income Securities, Third Edition is full of examples, applications, and case studies. Practically every quantitative concept is illustrated through real market data. This practice-oriented approach makes the book particularly useful for the working professional. This third edition is a considerable revision and expansion of the second. Most examples have been updated. The chapters on fixed income options and mortgage-backed securities have been considerably expanded to include a broader range of securities and valuation methodologies. Also, three new chapters have been the global overview of fixed income markets; a chapter on corporate bonds and credit default swaps; and a chapter on discounting with bases, which is the foundation for the relatively recent practice of discounting swap cash flows with curves based on money market rates. [FOR THE UNIVERSITY EDITION] This university edition includes problems which students can use to test and enhance their understanding of the text.

Genres: Finance, Textbooks, Nonfiction, Business

640 pages, Hardcover

First published April 3, 1995

Reviews

[Abhinav Saini · Rating 5 out of 5]

Fantastic introduction to Fixed Income! The book doesn't cover plethora of topics but what it does it covers well. I really liked the explanations on Treasury Futures, Short Rate Models. Some sections could be better written for e.g. Securitised Products. Overall, I would rate this and Hull's book as a must read for beginner quants.

[Lizi Zhu · Rating 5 out of 5]

It's a good book. I'm talking about the third edition that came out in 2012. But it's poorly written. The authors talk about things the way the narrator of Gossip Girl talks. They discuss things in a manner in which you tell your kid a fairy tale before saying good night to her/him. One should never try to discuss science in such way, ever.
But it has good stuff in it. It's almost like an aweful stand up comedian that throws a golden punch line every twenty minutes. Hopefully you are still awake then.
The overall reading experience could be summarized as 70% percent of the time you wonder "what in the wolrd are you on about, yo" and 5% of the time you go "wow, that does make sense. You practionners do know things a professor doesn't!"

[Sean · Rating 3 out of 5]

Good basic intro to fixed income. A little too academic and could be organized better. Still a good resource to have though.