What is a good fixed income book for someone who has completed Steven Shreve's book on stochastic ca

[Eric.Z]

Hello, I studied finance and math in undergrad and math in master.

I have completed Shreve's stochastic calculus and half of a finance phd level asset pricing text. I am looking for a PhD level fixed income book. The book should cover yield curve calibration, bootstrapping, common valuation methods and utilize rigorous mathematics.

I will be happy hear any recommendations.

 

[pingu]

do you know how fixed income markets work?

Before you go into a wild goose chase trying to learn esoteric crap that might or might not be useful, read this:

Interest Rate Markets: A Practical Approach to Fixed Income: Siddhartha Jha: 9780470932209: Amazon.com: Books

 

[mhy]

Brigo and Mercurio

 

[Ken Abbott]

Fixed Income Analytics

 

[pingu]

Fixed Income Analytics

This is a classic.

 

[mhy]

This was also used/recommended to us at CMU

http://www.amazon.com/Fixed-Income-...30905&sr=8-1&keywords=fixed+income+securities

 

[Ken Abbott]

This is a classic.

Ken Garbade even gives me a shoutout in the preface - not that that would bias my view.

 

[pingu]

Ken Garbade even gives me a shoutout in the preface - not that that would bias my view.

Nice!

Fixed Income Analytics

 

[Terrance]

This was also used/recommended to us at CMU

Amazon.com: Fixed Income Securities: Tools for Today's Markets (9780470891698): Bruce Tuckman, Angel Serrat: Books

do you know how fixed income markets work?

Before you go into a wild goose chase trying to learn esoteric crap that might or might not be useful, read this:

Interest Rate Markets: A Practical Approach to Fixed Income: Siddhartha Jha: 9780470932209: Amazon.com: Books

I'm looking for an introduction to fixed income markets. Would either of these work? Or is there another one that you would recommend?

 

[mhy]

Tuckman & Serrat is an introductory text. We used it as a reference during CMU's Fixed Income class.

 

[pingu]

I'm looking for an introduction to fixed income markets. Would either of these work? Or is there another one that you would recommend?

The book I recommended is an introduction to Fix income markets and how they work. Very little math but a lot insights in the mechanics and some of the products.

Interest Rate Markets: A Practical Approach to Fixed Income: Siddhartha Jha: 9780470932209: Amazon.com: Books

Read this guy's blog about jargon and other stuff. Useful if you get drop in the middle of a Rates desk and everything seems confusing:

Fermat's Last Spreadsheet

 

[mhy]

@Terrance
If you want a more introductory catch-all book this is a good one. Covers a good deal of bond / swaps and it's not too math-heavy.

The Complete Guide to Capital Markets for Quantitative Professionals (McGraw-Hill Library of Investment and Finance): Alex Kuznetsov: 9780071468299: Amazon.com: Books

 

[yetanotherquant]

Hello, I studied finance and math in undergrad and math in master.

I have completed Shreve's stochastic calculus... The book should ... utilize rigorous mathematics.

A transition from Shreve to rigourous IR-Models can be hard.
My tutorial on LIBOR Model might be a good bridge.

 

[Alexandre Chretien]

Veronesi ,
Fixed Income Securities: Valuation, Risk, and Risk Management