Fixed-Income Securities: Valuation, Risk Management and Portfolio Strategies
"This is the first book I have seen to carefully cover such a wide set of topics in both theoretical and applied fixed-income modelling, ranging from the use of market information to obtain yield curves, to the pricing and hedging of bonds and fixed-income derivatives, to the currently active topic of defaultable yield-curve modelling. It will be particularly useful to practitioners." - Darrell Duffie, Stanford University  "This is the most comprehensive theoretical treatment of the subject I've ever seen." - Mark Rubinstein, Haas School of Business, University of California  "An excellent review of interest rate models and of the pricing and hedging principles in the fixed-income area." - Oldrich Alfons Vasicek, KMV Corporation