Fixed Income Securities: Valuation, Risk, and Risk Management (Anglais) Relié – 2 février 2010
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"This book is a much needed guide to the complex landscape of modern fixed income securities and derivatives markets. Drawing on a few simple principles, but never neglecting the crucial details of each market, Pietro Veronesi lucidly explains how to model and manage fixed income risks." – John Y. Campbell, Department Chair, Harvard University Department of Economics
"Pietro Veronesi has given us an instant classic on fixed income markets. This book takes a completely new approach to the subject, combining a rich set of modeling issues with excellent intuition and coverage of institutional details." – Darrell Duffie, Dean Witter Distinguished Professor of Finance, Stanford University Graduate School of Business
"Veronesi′s book provides a new standard reference for students of fixed income markets. Veronesi presents his material using easy to follow arguments and prose making the book easily accessible to students who are new to these markets. In addition, Veronesi provides a wonderful set of examples based on real–world data and situations. These examples provide readers with a deeper understanding of both the pricing of fixed income securities and the working of the markets. Even experts in the field will find his examples very insightful. Highly recommended reading!" – John C. Heaton, Joseph L. Gidwitz Professor of Finance, The University of Chicago Booth School of Business
"This is an extraordinarily comprehensive treatment of the pricing and hedging of fixed–income securities. Professor Veronesi′s masterful blending of theory and practice highlights the growing importance of fixed–income markets in the global economy while making the many complex products and risk management problems fully accessible. It will surely become a "must have" reference for academics and practitioners alike." – Kenneth J. Singleton, Adams Distinguished Professor of Management, Stanford University Graduate School of Business
"I just taught a class using this book, and believe there is currently no better fixed income textbook on the market. It has an unmatched combination of rigorous coverage, user–friendly worked examples, and institutional detail, making it a pleasure to teach (and to learn) from." – Richard Stanton, Professor of Finance and Barbara and Gerson Bakar Faculty Fellow, Haas School of Business, University of California, Berkeley
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Veronesi is possibly the best fixed income introduction ever written. It does not skimp on mathematical thoroughness, as evidenced by crystal clear sections on term structure modeling and continuous time finance, as well as practical examples, including sections on term curve fitting, PCA/regression-based hedging, and well-written case studies throughout.
In short, this has become my favorite reference to the fixed income markets and I highly recommend it to practitioners or even students with some mathematical sophistication and exposure to the markets.
Nonetheless, this is a must have and I am looking forward to edition number two.
The explanations are very clear and succinct. I'm surprised by the typos concern - a list of corrections are on Veronesi's site, and I can't remember seeing more than two while reading it.