固定收益证券

　　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

　　BRUCE TUCKMAN， PhD， is a Managing Director in the Fixed Income and Derivatives Division of Credit Suisse First Boston. After receiving his doctorate in economics from MIT， he became a professor of finance at New York University’s Stern School of Business

INTRODUCTION
ACKNOWLEDGMENTS
PART ONE: The Relative Pricing of Fixed Income Securities with Fixed Cash Flows
CHAPTER 1: Bond Prices, Discount Factors, and Arbitrage
CHAPTER 2: Bond Prices, Spot Rates, and Forward Rates
CHAPTER 3: Yield-to-Maturity
CHAPTER 4: Generalizations and Curve Fitting
PART TWO: Measures of Price Sensitivity and Hedging.
CHAPTER 5: One-Factor Measures of Price Sensitivity
CHAPTER 6: Measures of Price Sensitivity Based on Parallel Yield Shifts
CHAPTER 7: Key Rate and Bucket Exposures
CHAPTER 8: Regression-Based Hedging
PART THREE: Term Structure Models
CHAPTER 9: The Science of Term Structure Models
CHAPTER 10: The Short-Rate Process and the Shape of the Term Structure
CHAPTER 11: The Art of Term Structure Models: Drift
CHAPTER 12: The Art of Term Structure Models: Volatility and Distribution
CHAPTER 13: Multi-Factor Term Structure Models
CHAPTER 14: Trading with Term Structure Models
PART FOUR: Selected Securities
CHAPTER 15: Repo
CHAPTER 16: Forward Contracts
CHAPTER 17: Eurodollar and Fed Funds Futures
CHAPTER 18: Interest Rate Swaps
CHAPTER 19: Fixed Income Options
CHAPTER 20: Note and Bond Futures
CHAPTER 21: Mortgage-Backed Securities
EXERCISES
REFERENCES AND SUGGESTIONS FOR FURTHER READING
INDEX