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Fixed income securities bruce tuckman angel serrat

Why the Yield Curve Looks the Way It Does

Chapter 7 showed how to price derivatives once you assume a rate process. Chapter 8 asks the reverse question: what does the curve shape tell you about expectations, volatility, and risk premia? Tuckman and Serrat keep the macro story narrow on purpose. No full Fed watching treatise. Just the link between short-rate dynamics and the term structure.

Term Structure Models: Pricing Derivatives by Arbitrage

Part Three starts here. Chapter 7 is the science: given assumptions about how rates evolve, how do you price contingent claims relative to liquid bonds? Tuckman and Serrat build this from a tiny binomial tree and scale up. No black box. Just arbitrage logic extended to securities whose cash flows depend on future rates.

Regression-Based Hedging: When DV01 Is Not Enough

Chapters 4 and 5 assume you know how rates move relative to each other. Chapter 6 asks: what if you do not assume, and just look at the data? Tuckman and Serrat build hedges from regressions and show where they work, where they fail, and why relationships drift over time.

Key-Rate and Forward-Bucket Hedges: Fixing the One-Factor Problem

Chapter 4 assumed one rate factor moves the whole curve. Chapter 5 says that is not how markets work. If you hedge a 30-year bond with a 6-month bill using pure DV01 logic, you are making a bet nobody would take on purpose. Rates at different maturities do not move together perfectly. That gap is curve risk.

Spot, Forward, and Par Rates Explained (Chapter 2)

Book: Fixed Income Securities: Tools for Today’s Markets
Authors: Bruce Tuckman and Angel Serrat
ISBN: 978-0-470-89169-8
Edition: 3rd (2012)

Discount factors are precise. They are also awkward to talk about. Traders say “the 2-year swap is 1.235%” not “the 2-year discount factor is 0.9756.” Chapter 2 bridges that gap.

Prices, Discount Factors, and Arbitrage (Chapter 1)

Book: Fixed Income Securities: Tools for Today’s Markets
Authors: Bruce Tuckman and Angel Serrat
ISBN: 978-0-470-89169-8
Edition: 3rd (2012)

Part One starts here. No warm-up. Tuckman and Serrat open with a question every fixed income desk asks daily: given prices on a set of bonds, how do you price everything else?

Japan's Fixed Income Market and the Global Overview Wrap

Book: Fixed Income Securities: Tools for Today’s Markets
Authors: Bruce Tuckman and Angel Serrat
ISBN: 978-0-470-89169-8
Edition: 3rd (2012)

Japan’s fixed income market is weird in the best way for learning. Households save. Corporates deleverage. The government borrows. Almost everyone buys government bonds. Foreigners mostly watch from the sidelines. Tuckman and Serrat’s Japan section explains how that loop formed and why it still shapes global rates.

Global Fixed Income Markets: US and Europe Explained

Book: Fixed Income Securities: Tools for Today’s Markets
Authors: Bruce Tuckman and Angel Serrat
ISBN: 978-0-470-89169-8
Edition: 3rd (2012)

Before Tuckman and Serrat get into discount factors and swap curves, they spend a full overview chapter on where fixed income actually lives. Smart move. You cannot price a 30-year swap without knowing who needs long-dated assets and who is on the other side of the trade.

Fixed Income Securities by Tuckman and Serrat: Series Intro

Book: Fixed Income Securities: Tools for Today’s Markets
Authors: Bruce Tuckman and Angel Serrat
ISBN: 978-0-470-89169-8
Edition: 3rd (2012)

I picked up Fixed Income Securities: Tools for Today’s Markets because I wanted a serious fixed income reference that goes beyond the basics. Not a skim-level intro. A book that treats pricing, risk, and real market structure as connected problems.

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