Readings
(still evolving)

Readings will be drawn in part from the following text(s):

Sundaresan, Suresh, Fixed Income Markets and their Derivatives, 3rd edition, Academic Press 2009.
Hull, John C., Options, Futures and other Derivatives, 6th or 7th edition, Prentice Hall 2006.

Useful books on using VBA (Visual Basic for Applications) for finance problems are:
          Back, Kerry, A Course in Derivative Securities, Springer-Verlag 2005.
          Jackson, Mary, and Mike Staunton, Advanced modelling in finance using Excel and VBA, Wiley 2001.
       
You should read Sundaresan chapter 1-2 and Hull chapter 1-2 as initial background.  Additional readings are provided below.  Most (other than in the texts) are optional.

  1. Forward, futures and option contracts
    Sundaresan, chap 17, "Treasury futures contracts"
    Hull, chap 1-3, 8, "Mechanics of options markets" , 9, "Properties of stock options"

  2. Interest rates and the term structure
    Sundaresan, chap 8, "Yield curve and the term structure"
    Hull, chap 4, "Interest Rates"
    "Notes on Duration", R. A. Jones (duration, figures)
              "What's in a number?  The importance of Libor, Donald MacKenzie (MacKenzie2008LiborExplained)

  3. Interest rate derivatives
    Sundaresan, chap 16, "Interest-rate swaps", 17, "Treasury futures contracts"
    Hull, chap 6, "Interest Rate Futures", 7, "Swaps", chap  26, " Interest rate derivatives: the standard market models"
              "Introduction to Asset Swaps", Dominic O'Kane, Lehman Brothers, Jan 2000 (OKane_2000_IntroAssetSwaps.pdf)
  4. Arbitrage valuation theory and numerical solution
       Jones, "Notes I: Ito's lemma, etc." (Notes1.pdf)
    Jones, "Notes II: Numerical solution of pde's" (Notes2.pdf)

  5. Asset backed securities
    "Canadian CMBS: Market Developments and Growth", Stephan Schwartz, Deutsche Bank Research, Feb 2002 DBresearch_2002_CMBS_canadian.pdf)
    "Securitization 101", Sunil Gangwani, Deloitte and Touche,  July 1998 (Deloitte_1998_Securitization.pdf)
    "Alternative Student Loan ABS", Katie Reeves, Deutsche Bank Research, Nov 2003 (DBGMresearch_2003_StudentLoanABS.pdf)
    "Guide to Collateralized Mortgage Obligations", Alexander Crawford, Deutsche Bank Research, Oct 2003 (DBGMresearch_2003_CMO_intro.pdf)
    "Credit Card ABS: An update ...", Katie Reeves, Nov 2002 (DBGMresearch_2002_ABS_creditcard.pdf)
    "European Securitization: A Resource Guide", European Securitization Forum (ESF_ABS_intro.pdf)
    "Asset Backed Commercial Paper Explained", Deborah Seife, Fitch Ratings, Nov 2001 (Fitch_2001_ABCP_intro.pdf)
              "Guide to Pass-through and Collateralized Mortgage Securities", The Bond Market Association (BondMarketAssn_CMO_guide.pdf)

  6. Credit risk and credit derivatives
    Sundaresan, chap 10, "Modeling credit risk", 18, "Credit default swaps"
    Hull, chap 27, "Credit Derivatives"
              "Introduction to Default Swaps", Dominic O'Kane, Lehman Brothers, Jan 2000 (OKane_2000_IntroDefaultSwaps.pdf)
    "Credit Derivatives Explained: Markets, Products, ...", Dominic O'Kane, Lehman Brothers, Mar 2001 (OKane_2001_CreditDerivativesExplained.pdf)
    "Credit Spreads Explained", Dominic O'Kane and Saurav Sen, Lehman Brothers, Mar 2004 (OKane_2004_CreditSpreadsExplained.pdf)
    "Guide to Exotic Credit Derivatives", Dominic O'Kane et al, Lehman Brothers, 2003 (Lehman_2003_ExoticCreditDerivatives.pdf)

  7. Financial regulation and capital requirements
    "Regulatory Capital", in Christopher Culp, The Art of Risk Management, John Wiley & Sons 2002 (Culp_2002_Chap8_RegulatoryCapital.pdf)
    "International Convergence of Capital Measurement and Standards", Basle Committee on Banking Supervision, July 1988 (BIS_1988_Accord.pdf)
    "Overview of the New Basel Capital Accord", Bank for International Settlements, April 2003 (BISaccord03draftoverview.pdf)

  8. Links to course-relevant other places