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by Bruce Tuckman, Angel Serrat
Fixed Income Securities, 4th Edition
Cover
Title Page
Copyright
Preface
List of Acronyms
CHAPTER 0: Overview
CHAPTER 1: Prices, Discount Factors, and Arbitrage
CHAPTER 2: Swap, Spot, and Forward Rates
CHAPTER 3: Returns, Yields, Spreads, and P&L Attribution
CHAPTER 4: DV01, Duration, and Convexity
CHAPTER 5: Key‐Rate, Partial, and Forward‐Bucket '01s and Durations
CHAPTER 6: Regression Hedging and Principal Component Analysis
CHAPTER 7: Arbitrage Pricing with Term Structure Models
CHAPTER 8: Expectations, Risk Premium, Convexity, and the Shape of the Term Structure
CHAPTER 9: The Vasicek and Gauss+ Models
CHAPTER 10: Repurchase Agreements and Financing
CHAPTER 11: Note and Bond Futures
CHAPTER 12: Short‐Term Rates and Their Derivatives
CHAPTER 13: Interest Rate Swaps
CHAPTER 14: Corporate Debt and Credit Default Swaps
CHAPTER 15: Mortgages and Mortgage‐Backed Securities
CHAPTER 16: Fixed Income Options
APPENDIX TO CHAPTER 1: Prices, Discount Factors, and Arbitrage
APPENDIX TO CHAPTER 2: Swap, Spot, and Forward Rates
APPENDIX TO CHAPTER 3: Returns, Yields, Spreads, and P&L Attribution
APPENDIX TO CHAPTER 4: DV01, Duration, and Convexity
APPENDIX TO CHAPTER 6: Regression Hedging and Principal Component Analysis
APPENDIX TO CHAPTER 8: Expectations, Risk Premium, Convexity and the Shape of the Term Structure
APPENDIX TO CHAPTER 9: The Vasicek and Gauss+ Models
APPENDIX TO CHAPTER 11: Note and Bond Futures
APPENDIX TO CHAPTER 12: Short‐Term Rates and Their Derivatives
APPENDIX TO CHAPTER 13: Interest Rate Swaps
APPENDIX TO CHAPTER 14: Corporate Debt and Credit Default Swaps
APPENDIX TO CHAPTER 15: Mortgages and Mortgage‐Backed Securities
APPENDIX TO CHAPTER 16: Fixed Income Options
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Fixed Income Securities, 4th Edition
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