Fixed Income Securities

Fixed Income Securities, Third Edition by Bruce Tuckman and Angel Serrat provides a balanced approach to the theory and practice needed by fixed income professionals. It covers the essential conceptual frameworks, quantitative techniques with clear explanations, and detailed cash-flow and pricing conventions without unnecessary abstraction. Beginning with a global overview of fixed income markets, the book delves into the fundamentals, including arbitrage pricing, interest rates, risk metrics, and term structure models for pricing contingent claims. Subsequent chapters explore a wide array of individual markets and instruments - ranging from repo, rate, and bond forwards and futures to interest rate and basis swaps, credit markets, fixed income options, and mortgage-backed securities - all supported by abundant examples, applications, and case studies based on real market data. This third edition represents a significant revision, with updated examples throughout and expanded chapters on fixed income options and mortgage-backed securities to cover a broader spectrum of instruments and valuation methods. Additionally, three new chapters have been introduced: an expanded global overview; a detailed discussion on corporate bonds and credit default swaps; and an insightful chapter on discounting with bases, which underpins modern practices in discounting swap cash flows. This edition also includes problems designed to help students test and refine their understanding of the content.