Valuation, Risk Management and Portfolio Strategies
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Fixed-income Securities by Lionel Martellini
Book DescriptionThis textbook will be designed for fixed--income securities courses taught on MSc Finance and MBA courses. There is currently no suitable text that offers a a Hull--typea book for the fixed income student market. This book aims to fill this need. The book will contain numerous worked examples, excel spreadsheets, with a building block approach throughout. A key feature of the book will be coverage of both traditional and alternative investment strategies in the fixed--income market, for example, the book will cover the modern strategies used by fixed--income hedge funds.* The text will be supported by a set of PowerPoint slides for use by the lecturer* First textbook designed for students written on fixed--income securities -- a growing market* Contains numerous worked examples throughout* Includes coverage of important topics often omitted in other books i.e. deriving the zero yield curve, deriving credit spreads, hedging and also covers interest rate and credit derivatives
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Book DetailsISBN: 9780470852774
(245mm x 189mm x 36mm)
Imprint: John Wiley & Sons Ltd
Publisher: John Wiley and Sons Ltd
Publish Date: 28-May-2003
Country of Publication: United Kingdom
Books By Author Lionel Martellini
Advanced Bond Portfolio Management, Hardback (January 2006)
Indexing, Structured, and Active Bond Portfolio Management is a new and comprehensive fixed income book focused on the implementation of fixed income strategy. Key analytical concepts are tied to implementation through the use of data services such as Bloomberg.
Fixed-income Securities, Hardback (November 2000)» View all books by Lionel Martellini
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.
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Author Biography - Lionel Martellini
Lionel Martellini is an assistant Professor of Finance at the Marshall School of Business, University of Southern California, where he teaches "fixed--income securities" at the MBA level. He is also a research associate at the EDHEC Risk and Asset Management Research Center, and a member of the editorial boards of The Journal of Bond Training and Management and The Journal of Alternative Investments. Philippe Priaulet is a fixed--income strategist in charge of derivatives strategies for HSBC. His expertise is related to fixed--income asset management and derivatives pricing and hedging, and his research has been published in leading academic and practitionersa journals. Formerly, he was head of fixed--income research in the Research and Innovation Department of HSBC--CCF. Stephanie Priaulet is a senior index portfolio manager in the Structured Asset Management Department at AXA Investment Managers. Previously, he was head of qualitative engineering in The Fixed Income Research Department at AXA Investment Managers. He also teaches "fixed--income securities" as a part--time lecturer at the University Paris Dauphine. He is a member of the editorial board of The Journal of Bond Trading and Management, where he has published several research papers.
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