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

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Februar 2001



The pricing and hedging of fixed-income securities is technically more complicated than the pricing and hedging of equity instruments. The wide assortment of fixed-income products have different coupon structures, amortization, and fixed and/or floating rates.


Introduction. Acknowledgments. Standard Notation. PRICING AND HEDGING CERTAIN CASH-FLOWS Deriving the Current Zero-Coupon Rate Curve. Basic Assets Pricing and Hedging. PRICING AND HEDGING UNCERTAIN CASH-FLOWS. Modelling the Zero-Coupon Yield Curve Dynamics. Pricing and Hedging Fixed-Income Derivatives. MATHEMATICAL APPENDICES. Appendix A: An Introduction to Stochastic Processes in Continuous Time. Appendix B: Numerical Methods. References. Index.


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.


"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
EAN: 9780471495024
ISBN: 0471495026
Untertitel: 'Wiley Financial Engineering'. Sprache: Englisch.
Erscheinungsdatum: Februar 2001
Seitenanzahl: 276 Seiten
Format: gebunden
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