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Fixed Income Securities: Dynamic Methods for Interest Rate Risk Pricing and Hedging by Lionel Martellini

Fixed Income Securities: Dynamic Methods for Interest Rate Risk Pricing and Hedging

by Lionel Martellini
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Book cover type: Hardcover
  • ISBN13: 9780471495024
  • Binding: Hardcover
  • Subject: N/A
  • Publisher: Wiley
  • Publisher Imprint: Wiley
  • Publication Date:
  • Pages: 276
  • Original Price: GBP 95.0
  • Language: English
  • Edition: N/A
  • Item Weight: 527 grams
  • BISAC Subject(s): Finance / General and Investments & Securities / General

Dynamic methods for interest rate risk pricing and hedging.

Fixed-Income Securities provides a survey of modern methods forpricing and hedging fixed-income securities in the presence ofinterest rate risk. Modern theory of finance provides a wealth ofnew approaches to the important question of interest rate riskmanagement, and this book brings them together, in a comprehensiveand thorough treatment of the subject.

Structured in an accessible manner, the authors begin by focusingon pricing and hedging certain cash flows, before moving on toconsider pricing and hedging uncertain cash flows. In addition tothe theoretical explanation, the authors provide numerousreal-world examples and applications throughout.

This is the first book I have seen to carefully cover such a wideset of topics in both theoretical and applied fixed-incomemodelling, ranging from the use of market information to obtainyield curves, to the pricing and hedging of bonds and fixed-incomederivatives, to the currently active topic of defaultableyield-curve modelling. It will be particularly useful topractitioners.Darrell Duffie, Stanford University

This is the most comprehensive theoretical treatment of thesubject I ve ever seen. Mark Rubinstein, Haas School of Business,University of California

An excellent review of interest rate models and of the pricing andhedging principles in the fixed-income area.Oldrich Alfons Vasicek,KMV Corporation

Lionel Martellini is an Assistant Professor of Finance at the Marshall School of Business, University of Southern California. He holds Master's degrees in Business Administration, Economics, Statistics, and Mathematics, and a PhD in Finance (U.C. Berkeley). He conducts active research in derivatives pricing, credit risk analysis, and quantitative portfolio management and has served as a consultant in these fields for various other financial institutions, in particular ACT Financial Systems. Philippe Priaulet is the Head of Fixed Income Research at Credit Commercial de France (CCF -- Direction of Research and Innovation), member of HSBC group, where he is particularly involved in the bank's risk management process. His expertise is related to quantitative finance in general and term structure models in particular. He holds a Master's degree in Business Administration, and a PhD in Financial Economics (Universite Paris-IX Dauphine). He also teaches quantitative methods to students in economics and finance at Universite Paris-IX Dauphine.

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