Fixed Income Markets and Their Derivatives

ISBN-10: 0123704715
ISBN-13: 9780123704719
Edition: 3rd 2009
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Book details

List price: $103.00
Edition: 3rd
Copyright year: 2009
Publisher: Elsevier Science & Technology Books
Publication date: 2/26/2009
Binding: Hardcover
Pages: 456
Size: 7.75" wide x 9.50" long x 1.25" tall
Weight: 2.442
Language: English

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.

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

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