Bruce Tuckman: Fixed Income Securities
Este libro es ideal para ser usado
como libro de texto en un curso avanzado de activos de renta fija en un MBA.
Es un libro bastante nuevo y por lo tanto presenta temas actuales como modelado
de la curva de rendimientos, swaps sobre la tasa de interés, opciones
contenidas en bonos corporativos, etc. en forma bastante accesible al público
en general.
Nuestra Calificación: ****
Dificultad matemática: **
Capítulos:
Part 1. The relative pricing of traditional fixed income securities
1. Bond prices and discount factors
2. Bond prices and interest rates: spot and forward
3. Yield-to-maturity
4. Real data issues
Part 2. The relative pricing of interest rate contingent claims
5. An introduction to arbitrage-free pricing of derivatives
6. Risk-neutral pricing
7. Arbitrage-free pricing in a realistic setting
8. The art of term-structure modeling
9. Equilibrium vs. arbitrage-free models
3. Measures of price sensivity
10. The price rate-function and its derivative
11. Measures of price sensivity
12 Macauley and modified duration
13. Key rate durations
4. Selected applications
14. Forward and futures contracts
15. Floaters and inverse floaters
16. Interest rate swaps
17. The options embedded in corporate bonds
18. Mortgage-backed securities