Fixed Income Securities

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

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.