000			04182nam a2200301Ia 4500
001			1387
008			230305s2003 xx 000 0 und d
020			_a9780470852774
040			_cTBS
041			_aeng
050			_aHG4650 _b.M367 2003
100			_aMartellini, Lionel _97408 _eauthor
245		0	_aFixed income securities _b: valuation, risk management, and portfolio strategies _c/ Lionel Martellini, Philippe Priaulet, and Stéphane Priaulet.
260			_bChichester, England ; Hoboken, NJ : Wiley, 2003.
300			_axxix, 631 pages : illustrations, tables, graphs (black and white) ; 25 cm.
490			_aWiley finance series.
505			_aPt. 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.
520			_aThis 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.
590			_bIncludes bibliographical references and indexes. ; ; Contributor biographical information http://www.loc.gov/catdir/bios/wiley046/2003041167.html ; Table of contents http://www.loc.gov/catdir/toc/wiley041/2003041167.html ; Publisher description http://www.loc.gov/catdir/description/wiley039/2003041167.html
650			_aFixed-income securities _xMathematical models _97403
650		0	_aPortfolio management _xMathematical models _97404
650			_aBonds _xMathematical models _97405
650			_aHedging (Finance) _xMathematical models _97406
653			_aBibliography M1 - CO Audit and Controlling: Advanced Corporate Finance
700			_aPriaulet, Philippe _eauthor _97409
700			_aPriaulet, Stéphane _eauthor _97407
942			_2lcc
999			_c1394 _d1394