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

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

by Lionel Martellini, Philippe Priaulet
     
 

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

See more details below

Overview

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.

Read More

Editorial Reviews

From the Publisher
"This is the first book I have seen to carefully cover such a wide set of topics in both theoretical and applied fixed-income modelling, ranging from the use of market information to obtain yield curves, to the pricing and hedging of bonds and fixed-income derivatives, to the currently active topic of defaultable yield-curve modelling. It will be particularly useful to practitioners." - Darrell Duffie, Stanford University
"This is the most comprehensive theoretical treatment of the subject I've ever seen." - Mark Rubinstein, Haas School of Business, University of California
"An excellent review of interest rate models and of the pricing and hedging principles in the fixed-income area. " - Oldrich Alfons Vasicek, KMV Corporation
Booknews
A reference for those involved with fixed-income securities, combining theory with practical examples. Early chapters are devoted to the question of hedging and pricing certain cash-flows in the presence of interest rate risk. This material assumes knowledge of basic notions of calculus and statistics. Later chapters deal with hedging and pricing uncertain cash-flows, such as cash-flows generated by any fixed-income contingent claim, in the presence of interest rate risk. These chapters involve more sophisticated mathematical tools, especially those borrowed from stochastic calculus, which are introduced in an appendix. Martellini teaches finance at the University of Southern California. Annotation c. Book News, Inc., Portland, OR (booknews.com)

Product Details

ISBN-13:
9780471495024
Publisher:
Wiley
Publication date:
02/16/2001
Series:
Frontiers in Finance Series
Pages:
276
Product dimensions:
6.32(w) x 9.45(h) x 0.85(d)

What People are saying about this

Mark Rubinstein
This is the most comprehensive theoretical treatment of the subject I've ever seen. (Mark Rubinstein, Haas School of Business, University of California)
Darrell Duffie
This is the first book I have seen to carefully cover such a wide set of topics in both theoretical and applied fixed-income modelling, ranging from the use of market information to obtain yield curves, to the pricing and hedging of bonds and fixed-income derivatives, to the currently active topic of defaultable yield-curve modelling. It will be particularly useful to practitioners.
Oldrich Alfons Vasicek
An excellent review of interest rate models and of the pricing and hedging principles in the fixed-income area. (Oldrich Alfons Vasicek, KMV Corporation)

Customer Reviews

Average Review:

Write a Review

and post it to your social network

     

Most Helpful Customer Reviews

See all customer reviews >