Hull, Options, Futures, and Other Derivatives, 8th

Edition.
Chapter 19............................Volatility Smiles
..................................................................................................
..........................1
Chapter 25...........................Exotic
Options.....................................................................................
.........................................16
29. Tuckman, Fixed Income Securities, 3rd Edition.
Chapter 7 .............................The Science of Term Structure
Models......................................................................................
..38
Chapter 8 .............................The Evolution of Short Rates
and the Shape of the Term
Structure............................................60
Chapter 9 .............................The Art of Term Structure
Models:
Drift........................................................................................8
5
Chapter 10 ...........................The Art of Term Structure
Models: Volatility and
Distribution......................................................111
30. Pietro Veronesi, Fixed Income Securities (Hoboken,
NJ: John Wiley & Sons, 2010).
Chapter 8 .............................Basics of Residential Mortgage
Backed
Securities.....................................................................NA

31. Jorion, Value-at-Risk: The New Benchmark for

Managing Financial Risk, 3rd Edition.
Chapter 6 .............................Backtesting
VaR...........................................................................................
..............................125
Chapter 11 .............................VaR
Mapping....................................................................................
........................................146
Kevin Dowd, Measuring Market Risk, 2nd Edition.
Chapter 3 .............................Estimating Market Risk
Measures..................................................................................
............177
Chapter 4.............................Non-parametric
Approaches...............................................................................
.........................206
Chapter 5 .............................AppendixModeling
Dependence: Correlations and
Copulas...................................................267
Chapter 7 .............................Parametric Approaches (II):
Extreme
Value................................................................................273
33. Frank Fabozzi, Anand Bhattacharya, William Berliner,
Mortgage-Backed Securities, 3rd Edition
(Hoboken, NJ: John Wiley & Sons, 2011).
Chapter 1 ..............................Overview of Mortgages and
the Consumer Mortgage
Market....................................................293

 Chapter 2 .............................Overview of the MortgageBacked Securities

Market..................................................................311
Chapter 10 ...........................Techniques for Valuing
MBS..........................................................................................
..............334
34. Messages from the Academic Literature on Risk
Measurement for the Trading Book,
Basel Committee on Banking Supervision, Working
Paper, No. 19, Jan
2011..................................................................353
Freely available on the GARP Digital Library.