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 byfocusing on pricing and hedging certain cash flows, before movingon to consider pricing and hedging uncertain cash flows. Inaddition to the theoretical explanation, the authors providenumerous real-world examples and applications throughout. ?This is the first book I have seen to carefully cover such awide set 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 ofBusiness, University of California ?An excellent review of interest rate models and of the pricingand hedging principles in the fixed-income area.? Oldrich AlfonsVasicek, KMV Corporation
Book Details:
- Author: Lionel Martellini
- ISBN: 9780471495024
- Year Published: 2001
- Pages: 276
- BISAC: BUS027000, BUSINESS & ECONOMICS/Finance
About the Book and Topic:
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 byfocusing on pricing and hedging certain cash flows, before movingon to consider pricing and hedging uncertain cash flows. Inaddition to the theoretical explanation, the authors providenumerous real-world examples and applications throughout. ?This is the first book I have seen to carefully cover such awide set 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 ofBusiness, University of California ?An excellent review of interest rate models and of the pricingand hedging principles in the fixed-income area.? Oldrich AlfonsVasicek, KMV Corporation
The first draft manuscript reviewed very well. Pricing and hedging fixed income securities is technically very difficult, and the reviewer’s praised the authors for their thorough treatment of the subject. The inclusion of practical material will make it very accessible to a practitioner audience. Fits well within our publishing programme.
* Offers clear, up-to-date, and comprehensive coverage of anotherwise difficult subject with examples and applications thatallows the reader to put the theory of pricing and hedgingfixed-income products into successful practice. * Details the hedging and pricing of certain cash flows and cashflows from derivatives. * Includes coverage of basic assets pricing and hedging as wellas modelling yield curve dynamics.
About the Author
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.