Fixed Income Securities: Tools for Today's Markets, Second Edition, University Edition (Paperback)

by Bruce Tuckman (Author) "How much are people willing to pay today in order to received $1,000 one year from today?..." (more)
Key Phrases: notional coupon rate, modified duration risk, swap rate curve, Monte Carlo, Two-Factor Model, Federal Reserve (more...)

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) --This text refers to an out of print or unavailable edition of this title.

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 the Hardcover edition.

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Product Details

• Paperback: 528 pages
• Publisher: Wiley; 2 edition (August 30, 2002)
• Language: English
• ISBN-10: 0471063223
• ISBN-13: 978-0471063223
• Product Dimensions: 8.8 x 6 x 1.5 inches
• Shipping Weight: 1.2 pounds (View shipping rates and policies)
• Average Customer Review: 4.6 out of 5 stars See all reviews (27 customer reviews)
• Amazon.com Sales Rank: #20,700 in Books (See Bestsellers in Books)

Customer Reviews

Most Helpful Customer Reviews

53 of 53 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.

13 of 13 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.

18 of 20 people found the following review helpful:

5.0 out of 5 stars The best book out there..., July 22, 2003

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

Since all of the reviews cover the first edition, it's definitely worth noting that the 2nd edition is much improved. I've read most of the introductory books on fixed income, and none explain the market as clearly and intuitively as Tuckman. Anyone who is joining a fixed income desk or who seeks to learn more about this area should pick up this book before any others. The repo markets, interest rate and asset swaps, forwards, and futures are all covered in excellent detail. There are few discussions of duration and convexity that rival this one. Overall, this book scores high in all major areas and is highly recommended by all those I know who have come across it.