Fixed–Income Securities. Valuation, Risk Management and Portfolio Strategies. The Wiley Finance Series

  • ID: 2252083
  • Book
  • 662 Pages
  • John Wiley and Sons Ltd
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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: [external URL]

Please visit our website at [external URL]
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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. 

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Lionel Martellini
Philippe Priaulet
Stéphane Priaulet
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