Fixed Income Markets and Their Derivatives (Current Issues in Finance) [Hardcover]

Suresh Sundaresan (Author)

Book Description

Series: Current Issues in Finance | Publication Date: July 25, 2001

95% new and never read by me.very few marks in the book

Editorial Reviews

Review

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 in learning 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 --This text refers to an alternate Hardcover edition.

From the Back Cover

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 in learning 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 --This text refers to an alternate Hardcover edition.

See all Editorial Reviews

Product Details

• Hardcover: 640 pages
• Publisher: South-Western College Pub; 2nd edition (July 25, 2001)
• Language: English
• ISBN-10: 032400446X
• ISBN-13: 978-0324004465
• Product Dimensions: 9.5 x 7.7 x 1.3 inches
• Shipping Weight: 2.8 pounds
• Average Customer Review: 2.7 out of 5 stars  See all reviews (13 customer reviews)
• Amazon Best Sellers Rank: #994,551 in Books (See Top 100 in Books)

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8 of 9 people found the following review helpful:

4.0 out of 5 stars would consider adopting if I were teaching an undergraduate or generalist graduate course in fixed income, March 25, 2009

By 

Bachelier ""1004"" (Ile de France) - See all my reviews

This review is from: Fixed Income Markets and Their Derivatives, Third Edition (Academic Press Advanced Finance) (Hardcover)

Suresh Sundaresan's "Fixed Income Markets and Their Derivatives, 3rd" (FIM&D3) continues to provide a welcome introductory teaching text on the vast topic of "fixed income" (FI). My review is limited to four stars, however, because of some obvious additions that would have made the work more useful. This edition has improved grammar and editing and clarity and organization over previous editions.

Sundaresan' FIM&D3 is appropriate for teaching an undergraduate course in fixed income (both for business and finance majors) and for graduate students in generalist MBA programs (but NOT finance MBA).

It is necessary to compare competing texts to discover their merits and flaws, and given the vastness of the topic "fixed income" or "credit" no one text could hope to cover it all. The quickest comparison is to (never cited) Martellini and the Priaulet brothers' "Fixed Income Securities: Valuation, Risk Management, and Portfolio Strategies" (M&P's FIS). [Full disclosure: I am a colleague of both Priaulets and a student of Martellini]. Priaulet and Martellini take a direct, technical, and mathematical approach, in keeping with their own backgrounds in theoretical mathematics of FI. Sundaresan's FIM&D3 takes a more narrative approach, gently introducing analysis and functions. The texts aim at different audiences, and for those beginning on FI and then continuing on to a more advanced technical stream then M&P's FIS is the obvious choice; while those continuing on to a module on "marketing" would probably want to stick with Sundaresan's FIM&D3.

Which leads to another curious omission in citation in this otherwise fine book: Frank J. Fabozzi is never mentioned nor is a single text of his ever cited. Academic jealousy being what it is (Sundaresan is at Columbia and Fabozzi at Yale) and competitive publishing being tooth and nail probably explain it. Still, as the author or editor of over fifty titles on fixed income Fabozzi's absence is glaring, especially in light of the fact Duffie and Singleton are cited throughout. The gymnastic gyrations necessary to avoid citing Fabozzi boggle the mind.

Fobozzi's texts often suffer from being two different kinds of monsters: a "Frankenbook" or a Hydra. For Fabozzi's Frankenbooks, he WordPastes previously published chapters of other books, adds a single specialized chapter on the title's topic, and slaps a new cover on it and shops it well. Customers are often disappointed that they previously owned 90% of a "new" book from Fabozzi simply because they already own a few other of his titles. "Hydra" books are multi-headed monsters, trying to straddle the two horses of the demands of market practitioners, with those of teaching academics (who in turn need undergraduate, graduate generalist (MBA) and graduate specialist (MSFE, PhD) texts. Fabozzi's titles reach for all markets and often end up pleasing no one.

And so Sundaresan's FIM&D3 plays specifically to a more limited audience and is a success in contrast.

The overview chapter is thorough introduction to the major topics of inquiry in FI, covering general contracts, the over-the-counter nature of much of the market, players and their objectives, and the high points of risk (with counterparty risk strangely glossed over in "contractual risk'). An introductory technical chapter on price-yield conventions follows. A flaw is the U.S.-specific nature of the examples, amplified by closely examining the role of the Federal Reserve in Chapter 3. Market structure is examined in chapter four, touching adequately on primary and secondary markets, but rather thinly on interdealer brokers ("the street"). A vanilla chapter on repo and repo agreements and treasury auctions fills out the first part.

Part two covers analytics in more depth, beginning with explications on DVO1 (the price of a basis point) duration and her many forms, and touches rather simply on convexity. It is here that sample spreadsheets and VBA code on programming a more robust duration calculation than that offered by MS Excel would have been welcome (Simon Benninga's always excellent "Financial Modeling in Excel" is the best text on the subject.). Yield curve dynamics and models are covered, but frankly here is where it is glaringly obvious that CD-ROM or dedicated website spreadsheet examples are needed. Chapter 10 on modeling credit risk is an excellent one-chapter introduction to a vast topic in and of itself (libraries of books are available on this topic alone).

Part three cautiously titles itself "Some Fixed Income Market Segments" and is apt. Sundaresan covers agency debt, mortgage-backed securities, and inflation-linked notes. The brevity of this list of FI instruments only amplifies how long the list of what he does not cover is.

Part four introduces FI derivatives, beginning with overnight rates, Eurodollar markets, treasury futures, and credit default swaps, and glossing over structured products in a chapter on collateralized debt obligations.

The text ends with a fine glossary of terms, and an index that appears adequate but not complete on all nouns and subjects (authors in the "suggested further reading" were sometimes not indexed, for example).

I am an academic and a practitioner, so I like to see a bibliography: strangely absent from this work, with only a handful of "suggested references and further readings" at each chapter's end.

For professors (such as myself) there is a very welcome dedicated website from the publisher with additional materials for lectures and assignments (registration required).

In summary, this is a text I would consider adopting if I were teaching an undergraduate or generalist graduate course in fixed income. FIM&D3 is a adequate, readable, well-organized, clear, logical, overview text of a vast field that quickly breaks down into difficult, technical, and arcane specializations. The mathematics used is not beyond those who have completed college level algebra (very little calculus is assumed). There are a plethora of additional topics I would have preferred were covered (portfolio approaches for market-makers, as well as investors, correlation, transition matrices, etc.) but perhaps those are best left to specialist or advanced texts.

9 of 11 people found the following review helpful:

2.0 out of 5 stars Much better books out there, Poorly written :(, July 15, 2002

By A Customer

This review is from: Fixed Income Markets and Their Derivatives (Current Issues in Finance) (Hardcover)

Only a good book for reference. Difficult to understand author's explaination of analysis of Fixed Income products. Many instances key steps are skipped in problems used for examples. Look for an alternative.

10 of 13 people found the following review helpful:

4.0 out of 5 stars A robust book that covers with breadth and detail, May 20, 1999

By A Customer

This review is from: Fixed Income Markets and Their Derivatives (Hardcover)

I had the pleasure of taking Professor Sundaresan's Debt Markets course at Columbia. He has tremendous experience in the marketplace. This book does a good job of covering the theory while also covering the practical aspects of the marketplace. One of my complaints is that some topics lacked a step-by-step approach, and you found yourself looking at a huge equation and wondering where it came from.

Hits: Duration, Convexity,Term Structure, Auctions, Treasuries, Corporates, Mortgages.

Misses: Futures, Unsightly 3-dimensional graphs

I also have Fabozzi's Handbook and Fabozzi's Bond Markets, Analysis and Strategies. This book is comparable to the latter.