Fixed-Income Securities: Valuation, Risk Management and Portfolio Strategies (The Wiley Finance Series) - Softcover

Martellini, Lionel; Priaulet, Philippe; Priaulet, Stéphane

Softcover

ISBN 10: 0470852771 ISBN 13: 9780470852774

Publisher: Wiley, 2003

Synopsis

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

About this title

About the Author

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.

From the Back Cover

Fixed-income securities

Valuation, Risk Management and Portfolio Strategies
Lionel Martellini, Philippe Priaulet and Stéphane Priaulet

This is the first comprehensive textbook for students studying fixed-income securities, and is ideally suitable to MBA, MSc and final-year undergraduate students in Finance and related topics.

The text offers an accessible and detailed account of interest rates and risk management in bond markets. It develops insights into different bond portfolio strategies, and illustrates how various types of derivative securities can be used to shift the risk associated with investing in fixed-income securities. It also provides extensive coverage on all sectors of the bond market, and the techniques for valuing bonds. In addition, explanation is given of state-of-the-art techniques for bond portfolio management, including:

• A description of numerous fixed-income assets and related securities, namely zero coupon government bonds, coupon bearing government bonds, corporate bonds, exchange-tradedbond options, bonds with embedded options, floating rate notes, caps, floors and collars, swaptions, credit derivatives, mortgage-backed securities, etc.
• The development of tools to analyse interest rate sensitivity and to value fixed-income securities, with an emphasis on active and passive bond management, and an overview of techniques used by mutual fund and also hedge fund managers.

With numerous worked examples covering valuation, risk management and portfolio strategies and imaginative discussion of important topics such as deriving the zero yield curve, deriving credit spreads, and hedging interest rate risk, the text provides an accessible route into the complex worlds of fixed-income securities.

The authors have produced a work of the very highest quality. As focused as it is comprehensive,this is a superb contribution to the literature . . .
Moorad Choudhry, VP, Structured Finance Services, JPMorgan Chase Bank, Senior Fellow, Centre for Mathematical Trading and Finance, CASS Business School, London.

The authors have written a fantastic textbook that combines rigorous theory with market practice, giving fixed-income students access to the important developments of the last twenty years. This will become the standard textbook for any serious MBA course on fixed-income.
Pedro Santa-Clara, Anderson School of Management, University of California, Los Angeles.

Supplementary materials for lecturers and students (including a syllabus, course web page, PowerPoint slides, solutions to problems, and Excel illustrations) can be found at the following website: http://www.wiley.co.uk/martellini

Please visit our website at www.wileyfinance.com

From the Inside Flap

Fixed-Income Securities is essential reading for those involved with and requiring a detailed understanding of fixed-income securities. Combining theory with an abundance of practical examples and illustrations, this book provides a comprehensive treatment of the subject. The first part of the book is devoted to the question of hedging and pricing certain cash-flows in the presence of interest rate risk. The level of mathematical sophistication involved for a good understanding of that material is relatively limited, and essentially includes basic notions of calculus and statistics. Hence, this first part should be accessible to those with no background in the theory of stochastic processes. The second part of the book is devoted to the question of hedging and pricing uncertain cash-flows, such as cash-flows generated by any fixed-income contingent claim, in the presence of interest rate risk. It involves more sophisticated mathematical tools, especially those borrowed from stochastic calculus, which are introduced in an Appendix. As such, this second part is more suited to students and professionals with exposure to, or at least appetite for, a more quantitative treatment of financial concepts.

Edition details

• Publisher: Wiley
• Publication date: 2003
• Language: English
• ISBN 10: 0470852771
• ISBN 13: 9780470852774
• Binding: Paperback
• Edition number: 1
• Number of pages: 662