Books

Books

The featured books include more than fifty books in all areas of fixed income including basic fixed income, interest rate modeling, credit risk modeling, and fixed income structured products. The books are rated on quantitative sophistication, categorized using a user-friendly classification system, and have forums for online discussions. Some books also have online resources such as sample chapters, slides, and Excel/VBA software files.

T1. Basic Fixed Income

Interest Rate Risk Modeling: The Fixed Income Valuation Course – Nawalkha, Soto, Beliaeva

  • Level: Basic+
  • Major Topics: T11, T15
  • Minor Topics: T12, T23, T26, T32

Fixed Income Securities: Tools for Today’s Markets - Tuckman

  • Level: Basic+
  • Major Topics: T11
  • Minor Topics: T12, T22, T42

The Handbook of Fixed Income Securities - Fabozzi

  • Level: Basic+
  • Major Topics: T12, T15
  • Minor Topics: T11, T14, T22, T26, T31, T34, T41, T42, T43

[14 books]

T2. Models of Interest Rates

Interest Rate Models: An Introduction - Cairns

  • Level: Intermediate+
  • Major Topics: T22, T21, T23
  • Minor Topics: T11, T32

Dynamic Term Structure Modeling: The Fixed Income Valuation Course - Nawalkha, Beliaeva, Soto

  • Level: Intermediate
  • Major Topics: T22, T21, T23
  • Minor Topics: T11, T12, T32, T33

Efficient Methods for Valuing Interest Rate Derivatives - Pelsser

  • Level: Intermediate+
  • Major Topics: T23, T21, T22
  • Minor Topics: T24

Interest-Rate Option Models - Rebonato

  • Level: Intermediate+
  • Major Topics: T22, T21, T23
  • Minor Topics: T11, T24, T25

Interest Rate Modelling - James, Webber

  • Level: Intermediate
  • Major Topics: T25, T21, T22, T23
  • Minor Topics: T11

Interest Rate Models - Theory and Practice, with Smile, Inflation, and Credit - Brigo, Mercurio

  • Level: Advanced
  • Major Topics: T23, T21, T22, T24, T32
  • Minor Topics: T11, T12, T31, T33

Modelling Fixed Income Securities and Interest Rate Options - Jarrow

  • Level: Intermediate
  • Major Topics: T23, T21
  • Minor Topics: T11, T22, T24, T25, T33

Modern Pricing of Interest Rate Derivatives - Rebonato

  • Level: Intermediate
  • Major Topics: T23, T21
  • Minor Topics: T24

Robust Libor Modelling and Pricing of Derivative Products - Schoenmakers

  • Level: Advanced
  • Major Topics: T23, T24
  • Minor Topics: T21

The Libor Market Model in Practice - Gatarek, Bachert, Maksymiuk

  • Level: Advanced+
  • Major Topics: T23
  • Minor Topics: T21, T24

Martingale Methods in Financial Modeling - Musiela, Rutkowski

  • Level: Advanced+
  • Major Topics: T21, T23
  • Minor Topics: T22, T24

T3. Models of Credit Risk and Other Risks

Credit Risk Modeling using Excel and VBA - Loeffler, Posch

  • Level: Intermediate+
  • Major Topics: T31, T32, T36, T37
  • Minor Topics: T33, T38, T44

Credit Risk and Return Modeling: The Fixed Income Valuation Course – Nawalkha, Beliaeva, Soto

  • Level: Intermediate
  • Major Topics: T32, T31, T33
  • Minor Topics: T34, T37, T38, T44

Credit Risk: Pricing, Measurement, and Management - Duffie, Singleton

  • Level: Intermediate+
  • Major Topics: T31, T32, T33, T36
  • Minor Topics: T34, T37, T44

[20 books]

T4. Fixed Income Structured Products

Securitization: The Financial Instrument of the Future - Kothari

  • Level: Basic
  • Major Topics: T41, T42, T43, T44
  • Minor Topics: T33, T45, T46

The Handbook of Structured Finance –Servigny, Jobst

  • Level: Intermediate
  • Major Topics: T44
  • Minor Topics: T31, T32, T33, T41, T42, T43, T45, T46

Structured Finance Modeling With Object-oriented VBA – Tick

  • Level: Intermediate
  • Major Topics: T41
  • Minor Topics: T42, T43, T44, T45, T49

[12 books]