Fixed Income Markets and Their Derivatives (3rd Ed.)
Academic Press Advanced Finance Series


Language: Anglais
Cover of the book Fixed Income Markets and Their Derivatives

Subject for Fixed Income Markets and Their Derivatives

96.64 €

In Print (Delivery period: 14 days).

Add to cartAdd to cart
Publication date:
434 p. · 19.1x23.5 cm · Hardback
The 3e of this well-respected textbook continues the tradition of providing clear and concise explanations for fixed income securities, pricing, and markets. The book matches well with fixed income securities courses. The book's organization emphasizes institutions in the first part, analytics in the second, selected segments of fixed income markets in the third, and fixed income derivatives in the fourth. This enables instructors to customize the material to suit their course structure and the mathematical ability of their students.

* New material on Credit Default Swaps, Collateralized Debt Obligations, and an intergrated discussion of the Credit Crisis have been added.
*Online Resources for instructors on password protected website provides worked out examples for each chapter.
* A detailed description of all key financial terms is provided in a glossary at the back of the book.
Fixed Income Markets and Their Derivatives

Chapter 1: Overview of Fixed Income Markets
Chapter 2: Price-Yield Conventions
Chapter 3: Federal Reserve (Central Bank) & Fixed Income Markets
Chapter 4: Organization and Transparency of Fixed Income Markets
Chapter 5: Financing Debt Securities Repurchase (Repo) Agreements
Chapter 6: Actions of Treasury Debt Securities
Chapter 7: Bond Mathematics-DV01, Duration and Convexity
Chapter 8: Yield Curve and the Term Structure
Chapter 9: Models of Yield Curve and the Term Structure
Chapter 10: Modeling Credit Risk and Corporate Debt Securities
Chapter 11: Mortgages, Federal Agencies & Agency Debt
Chapter 12: Mortgage-Backed Securities (MBS)
Chapter 13: Inflation-Linked Debt Treasury Inflation Protected Securities (TIPS)
Chapter 14: Derivatives on Overnight Interest Rates
Chapter 15: Eurodollar Futures Contracts
Chapter 16: Interest-Rate Swaps
Chapter 17: Treasury Futures Contracts
Chapter 18: Credit Default Swaps Single Name, Portfolio and Indexes
Chapter 19: Structured Credit Products Collateralized Debt Obligations
Students in MBA programs and master's programs in Finance, professionals who want an authoritative resource and explanation of the latest methods and concepts.
Suresh Sundaresan is the Chase Manhattan Bank Professor of Economics and Finance at Columbia University. He is currently the Chairman of the Finance subdivision. He has published in the areas of Treasury auctions, bidding, default risk, habit formation, term structure of interest rates, asset pricing, pension asset allocation, swaps, options, forwards, fixed-income securities markets and risk management. His research papers have appeared in major journals such as the Journal of Finance, Review of Financial Studies, Journal of Business, Journal of Financial and Quantitative Analysis, European Economics Review, Journal of Banking and Finance, Journal of Political Economy, etc. He has also contributed articles in Financial Times, and in World Bank conferences. He is an associate editor of Journal of Finance and Review of Derivatives Research. His current research focus is on default risk and how it affects asset pricing and sovereign debt securities. He has consulted for Morgan Stanley Asset management and Ernst and Young. His consulting work focuses on term structure models, swap pricing models, credit risk models, valuation, and risk management. He has conducted training programs for leading investment banks including Goldman Sachs, Morgan Stanley, CSFB and Lehman Brothers. He is the author of Fixed Income Markets and Their Derivatives. He has served on the Treasury Bond Markets Advisory Committee.