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 inlearning 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
"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
Table of Contents
Ch. 1 Overview of Fixed Income Markets 3
Ch. 2 Price-Yield Conventions 25
Ch. 3 Federal Reserve (Central Bank) and Fixed Income Markets 45
Ch. 4 Organization and Transparency of Fixed Income Markets 57
Ch. 5 Financing Debt Securities: Repurchase (Repo) Agreements 67
Ch. 6 Auctions of Treasury Debt Securities 87
Ch. 7 Bond Mathematics: DVO1, Duration, and Convexity 105
Ch. 8 Yield Curve and the Term Structure 131
Ch. 9 Models of Yield Curve and the Term Structure 165
Ch. 10 Modeling Credit Risk and Corporate Debt Securities 197
Ch. 11 Mortgages, Federal Agencies, and Agency Debt 227
Ch. 12 Mortgage-Backed Securities 245
Ch. 13 Inflation-Linked Debt: Treasury Inflation-Protected Securities 269
Ch. 14 Derivatives on Overnight Interest Rates 293
Ch. 15 Eurodollar Futures Contracts 303
Ch. 16 Interest-Rate Swaps 325
Ch. 17 Treasury Futures Contracts 353
Ch. 18 Credit Default Swaps: Single-Name, Portfolio, and Indexes 377
Ch. 19 Structured Credit Products: Collateralized Debt Obligations 397
Glossary of Financial Terms 411
Index 423
456 pages, Hardcover