Fixed Income Securities: Valuation, Risk, and Risk Management 1st edition, Pietro Veronesi

"This book is a much needed guide to the complex landscape of modern fixed income securities and derivatives markets. Drawing on a few simple principles, but never neglecting the crucial details of each market, Pietro Veronesi lucidly explains how to model and manage fixed income risks." - John Y. Campbell, Department Chair, Harvard University Department of Economics

"Pietro Veronesi has given us an instant classic on fixed income markets. This book takes a completely new approach to the subject, combining a rich set of modeling issues with excellent intuition and coverage of institutional details." - Darrell Duffie, Dean Witter Distinguished Professor of Finance, Stanford University Graduate School of Business

"Veronesi's book provides a new standard reference for students of fixed income markets. Veronesi presents his material using easy to follow arguments and prose making the book easily accessible to students who are new to these markets. In addition, Veronesi provides a wonderful set of examples based on real-world data and situations. These examples provide readers with a deeper understanding of both the pricing of fixed income securities and the working of the markets. Even experts in the field will find his examples very insightful. Highly recommended reading!" - John C. Heaton, Joseph L. Gidwitz Professor of Finance, The University of Chicago Booth School of Business

"This is an extraordinarily comprehensive treatment of the pricing and hedging of fixed-income securities. Professor Veronesi's masterful blending of theory and practice highlights the growing importance of fixed-income markets in the global economy while making the many complex products and risk management problems fully accessible. It will surely become a "must have" reference for academics and practitioners alike." - Kenneth J. Singleton, Adams Distinguished Professor of Management, Stanford University Graduate School of Business

"I just taught a class using this book, and believe there is currently no better fixed income textbook on the market. It has an unmatched combination of rigorous coverage, user-friendly worked examples, and institutional detail, making it a pleasure to teach (and to learn) from." - Richard Stanton, Professor of Finance and Barbara and Gerson Bakar Faculty Fellow, Haas School of Business, University of California, Berkeley

If you are looking for a great book on fixed income, teaching you how to do pricing and understand concepts being both practical and rigorous, this is the one.

If you are looking for a baby introduction, with no formulas, no math, this is not for you. But for people interested in getting sophisticated the book teaches you what you need.

Fantastic book, written by a great leading finance professor.

The worst book I ever seen in my life. Unlike others, I think this book is very bad!! The logic is unclear, use too much formula while no detail explaination. Also, the book make everything mass up! The author make everything so difficult while I have to say it was really miss leading! It should be much easier. For example, the duration thing it does not cover clearly, while you are using spot rate or YTM you should make it clear, the book is not! Also, the call option thing, totally mass! It cover something that is usless while ignor important things. The worst book I ever purchase. Do not buy this book!! IT is expensive it is confusing, it is BAD!

lets just say this guy could be the Father of Fixed Income Securities. Very well written with examples relevant and has numerous case studies i.e bankruptsy of orange county etc. also he doesn't skimp on the mathematics either. He first explains through examples and then proves it mathematically. If only all fin math books were written this way

I read the book through and through while taking the author's course on Fixed Income Asset Pricing at The University of Chicago, and I ,must say, unlike one of the reviewers, I did not encounter more than 10-15 typos throughout the book (and I usually notice them). The book is incredibly clear, very suitable for self-study, and the examples are easy to understand. The data provided actually makes things that much more concrete, which helps if you want to build code to implement the pricing methods discussed. I highly recommend the book for a practitioner as the book never gets bogged down by the mathematics or complicated proofs, - the math is there - but the "proof" is in the incredible intuition the author conveys for the equations and the formulas. Incredible work and a book I often refer to.

Finance books aimed at quantitative MBAs either seem to overdo the math and hide what operatively is going on, or present you with a meaningless string of formulas. Fixed Income Securities does a good job of showing where simple half page types of derivations come from, drastically reducing the "bunny out a hat feeling".

The explanations are very clear and succinct. I'm surprised by the typos concern - a list of corrections are on Veronesi's site, and I can't remember seeing more than two while reading it.

I just taught a course using this book as a guide and I can say it is just what we needed. It lies in between mathematically oriented books such as Brigo-Mercurio and more intuitive approaches such as Hull. It is one of the few books I have seen that does a pretty good job at explaining plain vanilla instruments such as interest rate swaps, caps & floors and swaptions. At the same time the exposition of the various interest rate models and the forward measure is excellent. I do not give it five stars only because at certain points the mathematics is very imprecise and leads to confusion. See for example the treatment of HJM framework when the author uses Stochastic Fubini with very little explanation.
Nonetheless, this is a must have and I am looking forward to edition number two.

This book is full of typos. The author's rounding is off, sometimes he quotes a number from a table, you run your eyes down the table and the number doesn't even exist. While the book came highly recommended, for someone who is trying to learn the subject, it's is painful having to constantly second-guess your reference material.

As a fixed income practitioner, I have long lamented the lack of resources combining academic rigor (like Martellini, Rebonato, etc.) and practical application (Tuckman, Fabozzi eh). The closest book I have found to addressing the challenges of someone working with fixed income in their day-to-day jobs is Tuckman, a reasonably well-written book, although more of a handbook for advanced users than a tutorial to the markets.

Veronesi is possibly the best fixed income introduction ever written. It does not skimp on mathematical thoroughness, as evidenced by crystal clear sections on term structure modeling and continuous time finance, as well as practical examples, including sections on term curve fitting, PCA/regression-based hedging, and well-written case studies throughout.

In short, this has become my favorite reference to the fixed income markets and I highly recommend it to practitioners or even students with some mathematical sophistication and exposure to the markets.

Product Details :
Hardcover: 848 pages
Publisher: Wiley; 1 edition (January 12, 2010)
Language: English
ISBN-10: 0470109106
ISBN-13: 978-0470109106
Product Dimensions: 7.4 x 1.3 x 10.1 inches

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