Quantitative Analysis, Derivatives Modeling, and Trading Strategies: In the Presence of Counterparty Credit Risk for the Fixed-Income Market

"This state of the art text emphasizes various contemporary topics in fixed income derivatives from a practitioner's perspective. The combination of martingale technology with the author's expert practical knowledge contributes hugely to the book's success. For those who desire timely reporting straight from the trenches, this book is a must." Peter Carr, PhD Head of Quantitative Financial Research, Bloomberg LP Director of the Masters in Math Finance Program, Courant Institute, NYU "It is quite obvious that the authors have significant practical experience in sophisticated quantitative analysis and derivatives modeling. This real world focus has resulted in a text that not only provides clear presentations on modeling, pricing and hedging derivatives products, somewhat typical in standard financial engineering books, but also provides more advanced material that is usually found only in research publications. In addition, the authors provide readers with keen insight into how different models are needed for different circumstances. This book has innovative ideas, state of the art applications, and contains a wealth of valuable information that will interest academics, applied quantitative derivatives modelers, and traders." Peter Ritchken Kenneth Walter Haber Professor, Department of Banking and Finance Weatherhead School of Management, Case Western Reserve University