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Fixed-Income Securities: Dynamic Methods for Interest Rate Risk Pricing and Hedging

ISBN: 978-0-471-49502-4
276 pages
February 2001
Fixed-Income Securities: Dynamic Methods for Interest Rate Risk Pricing and Hedging (0471495026) cover image
Dynamic methods for interest rate risk pricing and hedging.

Fixed-Income Securities provides a survey of modern methods for pricing and hedging fixed-income securities in the presence of interest rate risk. Modern theory of finance provides a wealth of new approaches to the important question of interest rate risk management, and this book brings them together, in a comprehensive and thorough treatment of the subject.

Structured in an accessible manner, the authors begin by focusing on pricing and hedging certain cash flows, before moving on to consider pricing and hedging uncertain cash flows. In addition to the theoretical explanation, the authors provide numerous real-world examples and applications throughout.

This is the first book I have seen to carefully cover such a wide set of topics in both theoretical and applied fixed-income modelling, ranging from the use of market information to obtain yield curves, to the pricing and hedging of bonds and fixed-income derivatives, to the currently active topic of defaultable yield-curve modelling. It will be particularly useful to practitioners.Darrell Duffie, Stanford University

This is the most comprehensive theoretical treatment of the subject I ve ever seen. Mark Rubinstein, Haas School of Business, University of California

An excellent review of interest rate models and of the pricing and hedging principles in the fixed-income area.Oldrich Alfons Vasicek, KMV Corporation
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Introduction.

Acknowledgments.

Standard Notation.

PRICING AND HEDGING CERTAIN CASH-FLOWS

Deriving the Current Zero-Coupon Rate Curve.

Basic Assets Pricing and Hedging.

PRICING AND HEDGING UNCERTAIN CASH-FLOWS.

Modelling the Zero-Coupon Yield Curve Dynamics.

Pricing and Hedging Fixed-Income Derivatives.

MATHEMATICAL APPENDICES.

Appendix A: An Introduction to Stochastic Processes in Continuous Time.

Appendix B: Numerical Methods.

References.

Index.
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Lionel Martellini is an Assistant Professor of Finance at the Marshall School of Business, University of Southern California. He holds Master's degrees in Business Administration, Economics, Statistics, and Mathematics, and a PhD in Finance (U.C. Berkeley). He conducts active research in derivatives pricing, credit risk analysis, and quantitative portfolio management and has served as a consultant in these fields for various other financial institutions, in particular ACT Financial Systems. Philippe Priaulet is the Head of Fixed Income Research at Credit Commercial de France (CCF -- Direction of Research and Innovation), member of HSBC group, where he is particularly involved in the bank's risk management process. His expertise is related to quantitative finance in general and term structure models in particular. He holds a Master's degree in Business Administration, and a PhD in Financial Economics (Universite Paris-IX Dauphine). He also teaches quantitative methods to students in economics and finance at Universite Paris-IX Dauphine.
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"This is the first book I have seen to carefully cover such a wide set of topics in both theoretical and applied fixed-income modelling, ranging from the use of market information to obtain yield curves, to the pricing and hedging of bonds and fixed-income derivatives, to the currently active topic of defaultable yield-curve modelling. It will be particularly useful to practitioners." - Darrell Duffie, Stanford University
"This is the most comprehensive theoretical treatment of the subject I've ever seen." - Mark Rubinstein, Haas School of Business, University of California
"An excellent review of interest rate models and of the pricing and hedging principles in the fixed-income area. " - Oldrich Alfons Vasicek, KMV Corporation
See More

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