Fixed-Income Securities
Valuation, Risk Management and Portfolio Strategies
Published on 28. May 2003
Book
Paperback/Softback
662 pages
978-0-470-85277-4 (ISBN)
Description
This textbook will be designed for fixed-income securities courses taught on MSc Finance and MBA courses. There is currently no suitable text that offers a 'Hull-type' book for the fixed income student market. This book aims to fill this need. The book will contain numerous worked examples, excel spreadsheets, with a building block approach throughout. A key feature of the book will be coverage of both traditional and alternative investment strategies in the fixed-income market, for example, the book will cover the modern strategies used by fixed-income hedge funds.
* The text will be supported by a set of PowerPoint slides for use by the lecturer0
* First textbook designed for students written on fixed-income securities - a growing market
* Contains numerous worked examples throughout
* Includes coverage of important topics often omitted in other books i.e. deriving the zero yield curve, deriving credit spreads, hedging and also covers interest rate and credit derivatives
More details
Other editions
Additional editions
Lionel Martellini | Philippe Priaulet | Stéphane Priaulet
Fixed-Income Securities
Valuation, Risk Management and Portfolio Strategies
E-Book
09/2005
Wiley
€50.99
Available for download
Persons
Lionel Martellini is an assistant Professor of Finance at the Marshall School of Business, University of Southern California, where he teaches "fixed-income securities" at the MBA level. He is also a research associate at the EDHEC Risk and Asset Management Research Center, and a member of the editorial boards of The Journal of Bond Training and Management and The Journal of Alternative Investments.
Philippe Priaulet is a fixed-income strategist in charge of derivatives strategies for HSBC. His expertise is related to fixed-income asset management and derivatives pricing and hedging, and his research has been published in leading academic and practitioners' journals. Formerly, he was head of fixed-income research in the Research and Innovation Department of HSBC-CCF.
Stéphanie Priaulet is a senior index portfolio manager in the Structured Asset Management Department at AXA Investment Managers. Previously, he was head of qualitative engineering in The Fixed Income Research Department at AXA Investment Managers. He also teaches "fixed-income securities" as a part-time lecturer at the University Paris Dauphine. He is a member of the editorial board of The Journal of Bond Trading and Management, where he has published several research papers.
Content
Part I. Investment Environment.
1. Bonds and Money-Market Instruments.
2. Bond Prices and Yields.
Part II. Term Structure of Interest Rates.
3. Empirical Properties and Classical Theories of the Term Structure.
4. Deriving the Zero-Coupon Yield Curve.
Part III. Hedging Interest Rate Risk.
5. Hedging Interest-Rate Risk with Duration.
6. Beyond Duration.
Part IV. Investment Strategies.
7. Passive Fixed-Income Portfolio Management.
8. Active Fixed-Income Portfolio Management.
9. Performance Measurement on Fixed-Income Portfolios.
Part V. Swaps and Futures.
10. Swaps.
11. Forwards and Futures.
Part VI. Modeling the Term Structure of Interest Rates and Credit Spreads.
12. Modeling the Yield Curve Dynamics.
13. Modeling the Credit Spreads Dynamics.
Part VII. Plain Vanilla Options and More Exotic Derivatives.
14. Bonds with Embedded Options and Options on Bonds.
15. Options on Futures, Caps, Floors and Swaptions.
16. Exotic Options and Credit Derivatives.
Part VIII. Securitization.
17. Mortgage-Backed Securities.
18. Asset-Backed Securities.
Subject Index.
Author Index.