Fixed income securities : valuation, risk management, and portfolio strategies / Lionel Martellini, Philippe Priaulet, and Stéphane Priaulet.

Pt. 1. Investment environment ― 1. Bonds and money-market instruments ― 2. Bond prices and yields ― pt. 2. Term structure of interest rates ― 3. Empirical properties and classical theories of the term structure ― 4. Deriving the zero-coupon yield curve ― pt. 3. Hedging interest rate risk― 5. Hedging interest-rate risk with duration ― 6. Beyond duration ― pt. 4. Investment strategies ― 7. Passive fixed-income portfolio management ― 8. Active fixed-income portfolio management ― 9. Performance measurement on fixed-income portfolios ― pt. 5. Swaps and futures ― 10. Swaps ― 11. Forwards and futures ― pt. 6. Modeling the term structure of interest rates and credit spreads ― 12. Modeling the yield curve dynamics ― 13. Modeling the credit spreads dynamics ― pt. 7. Plain vanilla options and more exotic derivatives ― 14. Bonds with embedded options and options on bonds ― 15. Options on futures, caps, floors and swaptions ― 16. Exotic options and credit derivatives ― pt. 8. Securitization ― 17. Mortgage-backed securities ― 18. Asset-backed securities.

This is the first comprehensive textbook for students studying fixed-income securities, and is ideally suited to MBA, MSc and final year undergraduate students in Finance and related topics. The text offers an accessible and detailed account of interest rates and risk management in bond markets. It develops insights into different bond portfolio strategies and illustrates how various types of derivative securities can be used to shift the risks associated with investing in fixed-income securities. It also provides extensive coverage on all sectors of the bond market, and the techniques for valuing bonds. In addition, explanation is given of state-of-the-art techniques for bond portfolio management, including: A description of numerous fixed-income assets and related securities, namely zero-coupon government bonds, coupon bearing government bonds, corporate bonds, exchange-traded bond options, bonds with embedded options, floating rate notes, caps, floors and collars, swaptions, credit derivatives, mortgage-backed securities, etc. The development of tools to analyze interest rate sensitivity and to value fixed-income securities, with an emphasis on active and passive bond management, and an overview of techniques used by mutual fund and also hedge fund managers. With numerous worked examples covering the valuation, risk management and portfolio strategies of fixed income securities, and imaginative discussion of important topics such as deriving the zero yield curve, deriving credit spreads, and hedging interest rate risk, the text provides an accessible route into the complex worlds of fixed income securities.