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

Front Cover
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
 

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Contents

Bonds and MoneyMarket Instruments
3
Corporate Bond Markets
25
Contents
43
Contents
46
TERM STRUCTURE OF INTEREST RATES
58
An Integrated Approach
86
Deriving the ZeroCoupon Yield Curve
96
HEDGING INTERESTRATE RISK
163
Swaps
325
Forwards and Futures
353
the Repartition Date
361
Using Futures
367
When Interest Rates Are Constant
375
12
381
Processes in Continuous Time
420
Modeling the Credit Spreads Dynamics
437

Beyond Duration
182
Contents
192
PART IV
211
TrackingError Minimization
230
Yield Curve
238
Relative Value Analysis
269
and Convergence Trades
276
Performance Measurement on FixedIncome Portfolios
293
An Example
309
Probability of Default
450
PART VII
459
and White 1990 Model
498
and Libor in the Hull and White 1990 Model
536
Exotic Options and Credit Derivatives
548
PART VIII
593
AssetBacked Securities
607
Subject Index
617
Copyright

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About the author (2003)

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.

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