Fixed Income Securities

Build or brush up on the foundation you need to be a sophisticated fixed income professional with this proven book Fixed Income Securities: Tools for Today s Markets has been a valued resource for practitioners and students for over 25 years. Clearly written, and drawing on a myriad of real market examples, it presents an overview of fixed income markets; explains the conceptual frameworks and quantitative tool kits used in the industry for pricing and hedging; and examines a wide range of fixed income instruments and markets, including: government bonds; interest rate swaps; repurchase agreements; interest rate futures; note and bond futures; bond options and swaptions; corporate bonds; credit default swaps; and mortgages and mortgage-backed securities. Appearing a decade after its predecessor, this long-awaited Fourth Edition is comprehensively revised with: An up-to-date overview, including monetary policy with abundant reserves and the increasing electronification of market All new examples, applications, and case studies, including lessons from market upheavals through the pandemic New material on fixed income asset management The global transition from LIBOR to SOFR and other rates

Build or brush up on the foundation you need to be a sophisticated fixed income professional with this proven bookFixed Income Securities: Tools for Today's Markets has been a valued resource for practitioners and students for over 25 years. Clearly written, and drawing on a myriad of real market examples, it presents an overview of fixed income markets; explains the conceptual frameworks and quantitative tool kits used in the industry for pricing and hedging; and examines a wide range of fixed income instruments and markets, including: government bonds; interest rate swaps; repurchase agreements; interest rate futures; note and bond futures; bond options and swaptions; corporate bonds; credit default swaps; and mortgages and mortgage-backed securities.Appearing a decade after its predecessor, this long-awaited Fourth Edition is comprehensively revised with:* An up-to-date overview, including monetary policy with abundant reserves and the increasing electronification of market* All new examples, applications, and case studies, including lessons from market upheavals through the pandemic* New material on fixed income asset management* The global transition from LIBOR to SOFR and other rates

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