Fixed income securities : tools for today's market

Table of Contents: 1. Prices, Discount Factors, and Arbitrage 2. Swap, Spot, and Forward Rates 3. Returns, Yields, Spreads, and P&L Attribution 4. DV01, Duration, and Convexity 5. Key-Rate, Partial, and Forward-Bucket '01s and Durations 6. Regression Hedging and Principal Component Analysis 7. Arbitrage Pricing with Term Structure Models 8. Expectations, Risk Premium, Convexity, and the Shape of the Term Structure 9. The Vasicek and Gauss+ Models 10. Repurchase Agreements and Financing 11. Note and Bond Futures 12. Short-Term Rates and Their Derivatives 13. Interest Rate Swaps 14. Corporate Debt and Credit Default Swaps 15. Mortgages and Mortgage-Backed Securities 16. Fixed Income Options

This edition begins with a broad overview of fixed income market and participants, including current themes such as monetary policy with abundant reserves and trading liquidity in increasingly electronified markets. The book continues with conceptual framework and quantitative toolkits: arbitrage pricing; rates and spreads; DV01, duration, and convexity; multi-factor and empirical hedging; and term structure models. This edition incorporates all-new examples, applications, and case studies. The Transition from LIBOR to SOFR is discussed in detail, as are market upheavals during the COVID-19 pandemic and economic shutdowns. This edition is a time-proven resource for building or brushing up on the knowledge and skill set of a sophisticated fixed income professional.