Fixed Income Markets and Their Derivatives

Fixed Income Markets and Their Derivatives

3.36 (11 ratings by Goodreads)
By (author) 

List price: US$99.95

Currently unavailable

Add to wishlist

AbeBooks may have this title (opens in new window).

Try AbeBooks


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.
show more

Product details

  • Hardback | 600 pages
  • 167.6 x 242.9 x 19mm | 510g
  • Academic Press Inc
  • San Diego, United States
  • English
  • 4th edition
  • 0123850932
  • 9780123850935
  • 2,135,143

Review quote

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
show more

About Suresh Sundaresan

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.
show more

Table of contents

Fixed Income Markets and Their DerivativesSundaresanChapter 1: Overview of Fixed Income MarketsChapter 2: Price-Yield ConventionsChapter 3: Federal Reserve (Central Bank) & Fixed Income MarketsChapter 4: Organization and Transparency of Fixed Income MarketsChapter 5: Financing Debt Securities Repurchase (Repo) AgreementsChapter 6: Actions of Treasury Debt SecuritiesChapter 7: Bond Mathematics-DV01, Duration and ConvexityChapter 8: Yield Curve and the Term StructureChapter 9: Models of Yield Curve and the Term StructureChapter 10: Modeling Credit Risk and Corporate Debt SecuritiesChapter 11: Mortgages, Federal Agencies & Agency DebtChapter 12: Mortgage-Backed Securities (MBS)Chapter 13: Inflation-Linked Debt Treasury Inflation Protected Securities (TIPS)Chapter 14: Derivatives on Overnight Interest RatesChapter 15: Eurodollar Futures ContractsChapter 16: Interest-Rate SwapsChapter 17: Treasury Futures ContractsChapter 18: Credit Default Swaps Single Name, Portfolio and IndexesChapter 19: Structured Credit Products Collateralized Debt Obligations
show more

Rating details

11 ratings
3.36 out of 5 stars
5 18% (2)
4 27% (3)
3 27% (3)
2 27% (3)
1 0% (0)
Book ratings by Goodreads
Goodreads is the world's largest site for readers with over 50 million reviews. We're featuring millions of their reader ratings on our book pages to help you find your new favourite book. Close X