Fixed Income Markets and Their Derivatives
by SundaresanEdition: 3rd
Format: Hardcover
Pub. Date: 2/26/2009
Publisher(s): Elsevier Science
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Summary
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 integrated 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.
Author Biography
Suresh Sundaresan is the Chase Manhattan Bank Professor of Economics and Finance at Columbia University, New York.
Table of Contents
| Fixed Income Markets and Their Derivatives Sundaresan | |
| Overview of Fixed Income Markets | |
| Price-Yield Conventions | |
| Federal Reserve (Central Bank) & Fixed Income Markets | |
| Organization and Transparency of Fixed Income Markets | |
| Financing Debt Securities Repurchase (Repo) Agreements | |
| Actions of Treasury Debt Securities | |
| Bond Mathematics-DV01, Duration and Convexity | |
| Yield Curve and the Term Structure | |
| Models of Yield Curve and the Term Structure | |
| Modeling Credit Risk and Corporate Debt Securities | |
| Mortgages, Federal Agencies & Agency Debt | |
| Mortgage-Backed Securities (MBS) | |
| Inflation-Linked Debt Treasury Inflation Protected Securities (TIPS) | |
| Derivatives on Overnight Interest Rates | |
| Eurodollar Futures Contracts | |
| Interest-Rate Swaps | |
| Treasury Futures Contracts | |
| Credit Default Swaps Single Name, Portfolio and Indexes | |
| Structured Credit Products Collateralized Debt Obligations | |
| Table of Contents provided by Publisher. All Rights Reserved. |
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