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