Firstly, sigma-delta modulator is the main part of a sigma delta converter. It's based on oversampling and noise shaping concepts, therefore its quite different from Nyquits converters. It is usually implemented using switched capacitor circuits or continuous time filters.
It's quite hard to explain this shortly so i suggest you may read some data converters book about sigma delta.
A good book to start is "Analog Integrated Circuit Design" by Johns and Martin.
Then you can use "Delta-Sigma Data Converters, Theory design and Simulation" by Norsworthy, Schreier and Temes; "Top Down Design of High performance Sigma-Deta Modulators" by Fernando Medeiro.