Fixed Income Markets and Their Derivatives - 3rd EditionChazen Institute for Global Business. He has published in the areas of Treasury auctions, bidding, default risk, habit formation, term structure of interest rates, asset pricing, investment theory, pension asset allocation, swaps, options, forwards, futures, fixed-income securities markets and risk management. His current research focus is on default risk and how its affects asset pricing and sovereign debt securities. He has worked as a senior strategist at Lehman Brothers in their Fixed Income Division during He has consulted full time for Morgan Stanley Asset Management during His consulting work focuses on term structure models, swap pricing models, credit risk models, valuation, and risk management. His current research work focuses on corporate bankruptcy, design of bankruptcy code, the role of collateral in interest rate swaps, and the role of central bank in providing liquidity to private capital markets.
Fixed Income Markets and Their Derivatives (3rd ed.)
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