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Fixed-Income Securities: Valuation, Risk Management and Portfolio Strategies

Paperback

£45.00

*VAT

Fixed-Income Securities: Valuation, Risk Management and Portfolio Strategies

Lionel Martellini, Philippe Priaulet, Stéphane Priaulet

ISBN: 978-0-470-85277-4 May 2003 662 Pages

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 lecturer
  • 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

Related Resources

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. 

Martellini Supplementary Website Supplementary materials for lecturers and students (including a syllabus, a course web page, PowerPoint slides, solutions to problems, and Excel illustrations)
  • First text book 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.
  • Includes coverage of interest rates and credit derivatives.