Fixed Income Markets and Their Derivatives

Fixed Income Markets and Their Derivatives

3rd Edition - February 26, 2009

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  • Author: Suresh Sundaresan
  • Hardcover ISBN: 9780123704719
  • eBook ISBN: 9780080919331

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The third edition of this well-respected textbook continues the tradition of providing clear and concise explanations for fixed income securities, pricing, and markets. Fixed Income Markets and Their Derivatives 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.

Key Features

  • 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


Students in MBA programs and master's programs in Finance, professionals who want an authoritative resource and explanation of the latest methods and concepts.

Table of Contents

  • 1. Overview of Fixed Income Markets
    2. Price-Yield Conventions
    3. Federal Reserve (Central Bank) & Fixed Income Markets
    4. Organization and Transparency of Fixed Income Markets
    5. Financing Debt Securities Repurchase (Repo) Agreements
    6. Actions of Treasury Debt Securities
    7. Bond Mathematics-DV01, Duration and Convexity
    8. Yield Curve and the Term Structure
    9. Models of Yield Curve and the Term Structure
    10. Modeling Credit Risk and Corporate Debt Securities
    11. Mortgages, Federal Agencies & Agency Debt
    12. Mortgage-Backed Securities (MBS)
    13. Inflation-Linked Debt Treasury Inflation Protected Securities (TIPS)
    14. Derivatives on Overnight Interest Rates
    15. Eurodollar Futures Contracts
    16. Interest-Rate Swaps
    17. Treasury Futures Contracts
    18. Credit Default Swaps Single Name, Portfolio and Indexes
    19. Structured Credit Products Collateralized Debt Obligations

Product details

  • No. of pages: 456
  • Language: English
  • Copyright: © Academic Press 2009
  • Published: February 26, 2009
  • Imprint: Academic Press
  • Hardcover ISBN: 9780123704719
  • eBook ISBN: 9780080919331

About the Author

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.

Affiliations and Expertise

Chase Manhattan Bank Professor of Economics and Finance, Columbia University, New York, NY, USA

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