Martellini / Priaulet Fixed-Income Securities

Valuation, Risk Management and Portfolio Strategies
1. Auflage 2005
ISBN: 978-0-470-86822-5
Verlag: John Wiley & Sons
Format: PDF
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)

E-Book, Englisch, 662 Seiten, E-Book

Reihe: The Wiley Finance Series

This textbook will be designed for fixed-income securities coursestaught on MSc Finance and MBA courses. There is currently nosuitable text that offers a 'Hull-type' book for the fixed incomestudent market. This book aims to fill this need. The book willcontain numerous worked examples, excel spreadsheets, with abuilding block approach throughout. A key feature of the book willbe coverage of both traditional and alternative investmentstrategies in the fixed-income market, for example, the book willcover the modern strategies used by fixed-income hedge funds.
* The text will be supported by a set of PowerPoint slides foruse by the lecturer
* First textbook designed for students written on fixed-incomesecurities - a growing market
* Contains numerous worked examples throughout
* Includes coverage of important topics often omitted in otherbooks i.e. deriving the zero yield curve, deriving credit spreads,hedging and also covers interest rate and credit derivatives

Autoren/Hrsg.

Martellini, Lionel

Priaulet, Philippe

Priaulet, Stéphane

Inhaltsverzeichnis

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 TermStructure.
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 andCredit Spreads.
12. Modeling the Yield Curve Dynamics.
13. Modeling the Credit Spreads Dynamics.
Part VII. Plain Vanilla Options and More ExoticDerivatives.
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.

Über Autor(innen)

Lionel Martellini is an assistant Professor of Finance at theMarshall School of Business, University of Southern California,where he teaches "fixed-income securities" at the MBA level. He isalso a research associate at the EDHEC Risk and Asset ManagementResearch Center, and a member of the editorial boards of TheJournal of Bond Training and Management and The Journal ofAlternative Investments.
Philippe Priaulet is a fixed-income strategist in charge ofderivatives strategies for HSBC. His expertise is related tofixed-income asset management and derivatives pricing and hedging,and his research has been published in leading academic andpractitioners' journals. Formerly, he was head of fixed-incomeresearch in the Research and Innovation Department of HSBC-CCF.
Stéphanie Priaulet is a senior index portfolio manager inthe Structured Asset Management Department at AXA InvestmentManagers. Previously, he was head of qualitative engineering in TheFixed Income Research Department at AXA Investment Managers. Healso teaches "fixed-income securities" as a part-time lecturer atthe University Paris Dauphine. He is a member of the editorialboard of The Journal of Bond Trading and Management, wherehe has published several research papers.