Fixed Income Securities: Valuation, Risk, and Risk Management

REFERENCES

Further Readings for Chapter 1

1. Buraschi, Andrea and Davide Menini. 2001. “Liquidity Risk and Specialness: How Well Do Forward Repo Spreads Price Future Specialness?” Journal of Financial Economics.

2. Duffie, Darrell. 1996. “Special Repo Rates,” The Journal of Finance, 60, 2, 493 – 526.

3. Fabozzi, Frank. 2001. Fixed Income Securities. Second Edition, John Wiley & Sons.

4. Grinblatt, Mark, and Francis A. Longstaff. 2000. “Financial Innovation and the Role of Derivative Securities: An Empirical Analysis of the U.S. TreasuryŠs STRIPS Program.” The Journal of Finance, 55, 141536.

5. Fleming, Michael J., and Kenneth D. Garbade. 2004. “When the Back Office Moved to the Front Burner: Settlement Fails in the Treasury Market after 9/11,” Federal Reserve Bank of New York Economic Policy Review.

6. Jordan, Bradford, and Susan Jordan. 1997. “Special Repo Rates: An Empirical Analysis.” The Journal of Finance, 52, 205172.

7. Longstaff, Francis. 2004. “The Flight to Liquidity Premium in U.S. Treasury Bond Prices,” The Journal of Business 77, 511-526.

8. Martellini, Lionell, Philippe Priaulet and Stephanie Priaulet. 2003. Fixed-Income Securities: Valuation, Risk Management and Portfolio Strategies. John Wiley & Sons.

9. Sundaresan, Suresh. 2009. Fixed Income Markets and Their Derivatives. Third Edition, Elsevier.

10. Tuckman, Bruce. 2002. Fixed Income Securities. Second Edition, John Wiley & Sons.

Further Readings for Chapter 2

11. Anderson, Nicola. 1996. Estimating and Interpreting ...