Author | Tuckman, Bruce |
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Title | Fixed income securities : tools for today's markets / Bruce Tuckman |
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Imprint |
Hoboken, N.J. : Wiley, c2002 |
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Edition |
2nd ed |
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Descript |
xv, 512 p. : ill. ; 24 cm |
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CONTENT
Bond prices, discount factors, and arbitrage -- Bond prices, spot rates, and forward rates -- Yield-to-maturity -- fGeneralizations and curve fitting -- One-factor measures of price sensitivity -- Measures of price sensitivity based onparallei yield shifts -- Key rate and bucket exposures -- Regression-based hedging -- The science of term structure models -- The short-rate process and the shape of the term structure -- The art of term structure models: drifts -- The art of term structure models: volatility and distribution -- Multi-factor term structure models -- Trading with term structure models -- Repo -- Forward contracts -- Eurodollar and fed funds futures -- Interest rate swaps -- Fixed income options -- Note and bond futures -- Mortage-backed securities
SUBJECT
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Fixed-income securities
LOCATION | CALL# | STATUS |
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Chula Business School Library | 332.632044 T898F 2002 |
CHECK SHELVES
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Chula Business School Library | 332.632044 T898F 2002 |
CHECK SHELVES
|