Fixed Income Markets and Their Derivatives, 3rd Edition

The3rd edition 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 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.

Preface
Acknowledgments

Part I : Institutions and Conventions
Chapter 1 : Overview of Fixed Income Markets
Chapter 2 : Price-Yield Conventions
Chapter 3 : Federal Reserve (Central Bank) & Fixed Income Markets
Chapter 4 : Organization and Transparency of Fixed Income Markets
Chapter 5 : Financing Debt Securities Repurchase (Repo) Agreements
Chapter 6 : Auctions of Treasury Debt Securities

Part II : Analytics of Fixed Income markets
Chapter 7 : Bond Mathematics : DV01, Duration and Convexity
Chapter 8 : Yield Curve and the Term Structure
Chapter 9 : Models of Yield Curve and the Term Structure
Chapter 10 : Modeling Credit Risk and Corporate Debt Securities

Part III : Some Fixed Income Market Segments
Chapter 11 : Mortgages, Federal Agencies & Agency Debt
Chapter 12 : Mortgage-Backed Securities (MBS)
Chapter 13 : Inflation-Linked Debt : Treasury Inflation Protected Securities

Part IV : Fixed Income Derivatives
Chapter 14 : Derivatives on Overnight Interest Rates
Chapter 15 : Eurodollar Futures Contracts
Chapter 16 : Interest-Rate Swaps
Chapter 17 : Treasury Futures Contracts
Chapter 18 : Credit Default Swaps : Single Name, Portfolio and Indexes
Chapter 19 : Structured Credit Products : Collateralized Debt Obligations

Glossary of Financial Terms
Index