* 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.
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.
Students in MBA programs and master's programs in Finance, professionals who want an authoritative resource and explanation of the latest methods and concepts.
Fixed Income Markets and Their Derivatives, 3rd Edition
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
Quotes and reviews
A comprehensive blend of theoretical and practical material covering this dynamic market, Suresh Sundaresan's Fixed Income Markets and Their Derivatives provides a detailed view of the debt markets, enhanced in the third edition by extensive exploration of derivatives applications and strategies. Tightly organized chapters create a solid foundation with concepts, definitions and models, and build to complex, but well illustrated, practical examples. More than a textbook, this volume is a valuable addition to the reference bookshelf.
--Paul Calello, CEO, Investment Bank, Credit Suisse
“Sundaresan’s Fixed Income Markets and Their Derivatives, already the most comprehensive textbook on the subject, is thoroughly revised and updated in this new edition. Readers will especially appreciate Sundaresan’s coverage of the financial crisis that began in 2007, and his clear explanations of a wide range of fixed-income financial products.”
--Darrell Duffie, Dean Witter Distinguished Professor of Finance, Stanford University, CA
"This new edition of an expansive and erudite text on fixed income markets by one of the most highly respected scholars in the field should be a welcome event for practitioners and academics alike."
--Andrew W. Lo, Harris & Harris Group Professor, MIT Sloan School of Management, MA
“This book provides an excellent introduction to the fixed income markets. Its well-organized chapters cover both the practical aspects of fixed income securities, contracts, derivatives, and markets as well as the fundamental economic principles needed to navigate the fixed income world. This is definitely a must-have book for anyone interested in learning about these fast-paced markets.”
--Francis A. Longstaff, Allstate Professor of Insurance and Finance UCLA/Anderson School, CA
“This is an outstanding book. What makes it stand out is the truly excellent balance that Professor Sundaresan has managed to achieve between theory and institutional material and between breadth and depth. The book’s range is also unusually good with excellent coverage on credit risky bonds, credit derivatives and mortgages. It is an ideal book for MBA courses on fixed income.”
--Stephen Schaefer, Professor of Finance, London Business School, UK