Fixed Income Securities

For over 25 years, Fixed Income Securities: Tools for Today's Markets has been an invaluable resource for practitioners and students in fixed income. Its straightforward and practical approach to a complex subject is characterized by intuitive explanations and the illustration of concepts with concrete and real-world examples. This newly updated Fourth Edition begins with a broad overview of fixed income markets and participants, including current themes such as monetary policy with abundant reserves and trading liquidity in increasingly electronified markets. The book continues with conceptual frameworks and quantitative toolkits: arbitrage pricing; rates and spreads; DV01, duration, and convexity; multi-factor and empirical hedging; and term structure models. These and subsequent chapters dive into a wide range of instruments and markets: government bonds; interest rate swaps; repurchase agreements; note and bond futures; short-term rates and their derivatives; corporate bonds and credit default swaps; mortgages and mortgage-backed securities; and bond options and swaptions. This latest 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. Fixed Income Securities: Tools for Today's Markets, Fourth Edition, is a time-proven resource for building or brushing up on the knowledge and skill set of a sophisticated fixed income professional.