Fixed Income Securities: Tools for Today's Markets (Wiley Finance) [Hardcover]

Bruce Tuckman (Author)

Book Description

ISBN-10: 0471112143 | ISBN-13: 978-0471112143 | Publication Date: April 17, 1995 | Edition: University Edition

Because they respond to interest rates differently than traditional securities, fixed income securities offer the compelling prospect of increased rewards - and the penalty of added risk. Aimed at money managers and institutional investors, this practical resource shows how to understand and master the fixed income securities market and its new instruments. Using charts and tables that simplify complex subject matter, the guide identifies and describes the USA's array of new fixed income securities - from Treasury strips and caps to floors and swaptions - and shares market-proven approaches to fixed income application and risk control. It takes readers through the basic principles and procedures used in valuing today's fixed income choices and covers the latest fixed income derivatives.

Editorial Reviews

Review

."..highly readable..most accessible guide written on the subject...a must read for all fixed income professionals, institutional investors, money managers, financial analysts, traders, and other financial professionals..." (Zentralblatt Math, Vol.981 No.06, 2002)

Review

"Required reading for anyone interested in modeling fixed income securities. In my opinion, this edition of Tuckman's book has no match in terms of clarity, accessibility and applicability to today's bond markets."( Vineer Bhansali, Ph.D. Executive Vice President Head of Portfolio Analytics PIMCO) --This text refers to an alternate Hardcover edition.

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Product Details

• Hardcover: 272 pages
• Publisher: Wiley; University Edition edition (April 17, 1995)
• Language: English
• ISBN-10: 0471112143
• ISBN-13: 978-0471112143
• Product Dimensions: 9.2 x 6.2 x 1 inches
• Shipping Weight: 1.2 pounds
• Average Customer Review: 4.6 out of 5 stars  See all reviews (24 customer reviews)
• Amazon Best Sellers Rank: #997,775 in Books (See Top 100 in Books)

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Customer Reviews

Most Helpful Customer Reviews

73 of 73 people found the following review helpful:

5.0 out of 5 stars Excellent book for real Fixed Income Practitioners, July 20, 2005

By 

longhorn24 "longhorn24" (New York, NY) - See all my reviews

This review is from: Fixed Income Securities: Tools for Today's Markets, Second Edition (Hardcover)

Bruce Tuckman's Fixed Income Securities deserves its reputation earned from both academics and practitioners as a practical yet rigorous introduction to fixed income markets. Written by a well-respected practitioner, Tuckman's book bridges the gap between the elementary, dry, and overly detailed books on the subject (if you think I'm referring to books in the Fabozzi tradition, you're correct) and the more quantitatively rigorous books written from either an quantitative analyst/developer's point of view.

In any event, Tuckman address topics of importance to everyone in these markets, from quants to traders in various bond and interest rate markets. He starts with the basic topics that any advanced introduction to Fixed Income markets should contain, such as basic measures of yield and risk (basic discounting conventions and "Z"-factors, duration/DV01, convexity) as well as the spot and forward market rates.

He also covers basic topics in applied modeling, such as curve fitting and parameter estimation - advanced undergrads and MBA students can easily implement the basic ideas in Excel to gain an intuitive understanding of rigorous fixed income analysis. A benefit of this approach, based on my standpoint as a practitioner, is that students need to realize the lack of good data in fixed income markets is a tremendous obstacle for pricing and risk analysis. Emphasizing this topic early keeps the audience mindful that data issues and statistical techniques used to deal with them are certainly not trivial.

In the middle of the book, Tuckman introduces modern fixed-income modeling methods by using the standard binomial approach to demonstrate the basic princples of risk-neutral pricing and option valuation. He also covers the trinomial approach, which while more complicated, is more valuable to practitioners calibrating their models to incorporate mean-reverting effects, as well as the standard short-rate (affine) models. While this book does have a few stochastic differential equations, their inclusion is meant only to encourage intuitive thinking about the interest rate processes and their connection with the tree framework.

More advanced topics, written to minimize the use of quantitative methods, include term structure volatility and is designed to teach the necessary ideas and conventions one needs before tackling modern Market Models such as BGM/J, as well as estimation techniques, options/swaps, and pricing and risk of MBS. Despite an academic background, Tuckman is careful to emphasize both the language and quantitative "hand-waving" done by traders and other practitioners who work in real markets. He also includes "case studies" that share his experiences on the trading floor in the context of the relevant material.

I would strongly recommend this book for those wishing to gain an intuitive understanding of the issues facing practitioners from a quantitative viewpoint. The book does not address many important topics, even at a rudimentary level, such as credit risk and other structured products. Nonetheless, Tuckman's book offers a relatively complete, rigorous introduction to fixed income analysis at a basic level - there are many great books of varying degrees of rigor and detail that cover credit risk, securitization, etc. For those familiar with the ideas in Tuckman and that have a solid grasp of the machinery of mathematical finance, Brigo/Mercurio, Cairns, and Rebonato have books that cover modern Market Models in more detail; the level of mathematical sophistication necessary to understand these models and the technical skill to implement them extends beyond the basic calculus and Excel skills needed for Tuckman's book.

As a parting shot, I'll note the reviewer that criticized Tuckman for being an "adjunct" professor. Tuckman was a prop trader at Salomon before making MD at a top bank, and is well-respected by academics for his practical knowledge of Fixed Income markets - hence the glowing endorsements from Longstaff and Musiela on the back cover. Tuckman's book isn't desgined to be a survey of academic literature, but a guide for students, fixed income PM's, traders, and risk managers on the quantitative aspects of real-world practice - most of the fixed-income universe doesn't know, need to know, or care about no-arbitrage models, stochastic calculus, or advanced statstical methods.

15 of 15 people found the following review helpful:

5.0 out of 5 stars Excellent introdution to the world of Fixed Income, December 19, 2004

By 

A Hosalkar "A Hosalkar" (New York) - See all my reviews

This review is from: Fixed Income Securities: Tools for Today's Markets, Second Edition (Hardcover)

Tuckman's book is a lucid introduction to Fixed Income securities. It is an ideal mix of theory and institutional details.The book does not assume high mathematics knowledge, except for basic Algebra. Through the first few chapters Tuckman guides the reader through discount factors, spot rates, forward rates, Yield To maturity , duration and convexity; and with very good introductions to curve fitting, hedging and Term structure models.Part three, in my opinion is the highlight of the book, which is a detailed exposition of Term structure models.If there are any weaknesses in the book, I think they are in Mortgage Backed Securities(MBS). The treatment of MBS seems a little light. Also, the practice problems are fairly straightforward. But, the book is full of examples and practical case-studies. On the whole, this is a very good book,specially for those who are new to Fixed-Income securities.

12 of 12 people found the following review helpful:

5.0 out of 5 stars Clear and Intuitive, August 11, 2005

By 

Deniz Demir (Seattle, WA US) - See all my reviews
(REAL NAME)   

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This review is from: Fixed Income Securities: Tools for Today's Markets, Second Edition (Hardcover)

This book gives basics of fixed income securities in a very intuitive way. It first explains building blocks for fixed income securities. I have studied these topics in pricing and finance theory, and then I bought this book. I couldn't imagine a better explanation in such a clear way for fixed income securities. I suggest this book to everybody who wants to understand the fixed income securities. I think it helps anybody who is interested in quantitative modeling fixed income securities and who is interested in trading such securities.

It first gives the basic background, the relative pricing of fixed income securities and fixed cash flows. It then explains the price sensitivity and hedging. The author has given a good explanation for term structure models. The last part of the book is dedicated to some securities: repo, forward contracts, interest rate swaps, eurodollar and fed funds, fixed income options, mortgage-backed securities and note and bond futures.