Fixed-Income Securities: Valuation, Risk Management and Portfolio Strategies (The Wiley Finance Series) [Paperback]

Lionel Martellini (Author), Philippe Priaulet (Author), Stéphane Priaulet (Author)

Book Description

ISBN-10: 0470852771 | ISBN-13: 978-0470852774 | Publication Date: July 22, 2003 | Edition: 1

This 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 'Hull-type' 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

Editorial Reviews

Review

"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

From the Back Cover

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 analyse interest rate sensitivity and to value fixed- income securities, with an emphasis on active and passi ve 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. 

Supplementary materials for lecturers and students (including a syllabus, a course web page, PowerPoint slides, solutions to problems, and Excel illustrations) can be found at the following website: www.wiley.co.uk/martellini

"The authors have produced a work of the very highest quality.  As focused as it is comprehensive, this is a superb contribution to the literature..."
Moorad Choudhry, VP, Structured Finance Services, JPMorgan Chase Bank, Senior Fellow, Centre for Mathematical Trading and Finance, CASS Business School, London.

See all Editorial Reviews

Product Details

• Paperback: 662 pages
• Publisher: Wiley; 1 edition (July 22, 2003)
• Language: English
• ISBN-10: 0470852771
• ISBN-13: 978-0470852774
• Product Dimensions: 9.7 x 7.5 x 1.4 inches
• Shipping Weight: 3.1 pounds (View shipping rates and policies)
• Average Customer Review: 3.9 out of 5 stars  See all reviews (9 customer reviews)
• Amazon Best Sellers Rank: #226,258 in Books (See Top 100 in Books)

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Customer Reviews

Most Helpful Customer Reviews

21 of 21 people found the following review helpful:

5.0 out of 5 stars Thank you Martellini et al., March 8, 2004

By A Customer

This review is from: Fixed-Income Securities: Valuation, Risk Management and Portfolio Strategies (The Wiley Finance Series) (Paperback)

This is an outstanding textbook that is worth every penny I spent on it. It has everything you need for an MBA in finance course on fixed-income securities.
This book is the only one on the subject that has several worked out examples and end of chapter problems and solutions. That is very useful if you want to master the subject. You will encounter plenty of practice opportunities.
All the other books-Tuckman, Fabozzi, Sundaresan, and the rest-while they make good reference books to have on your shelf, they are very poor textbooks to learn from.
If you want to master fixed-income securities, you need to have this textbook.

Thank you,

19 of 22 people found the following review helpful:

5.0 out of 5 stars This is THE book., September 23, 2004

By 

Bachelier ""1004"" (Ile de France) - See all my reviews

This review is from: Fixed-Income Securities: Valuation, Risk Management and Portfolio Strategies (The Wiley Finance Series) (Paperback)

This book blows anything by Fabozzi away. But I suppose that isn't saying much so let me be clearer: this book is worth it. There is no padding here (like some of Fabozzi's books), and there is no superficial treatment here (like most of Fabozzi's books). This is a clear, well-ordered, logical, useful, practical, interesting, well written, and above all, helpful book. It covers bonds very well, the term structure of interest rates and various theories very well, hedging duration thoroughly, investment strategies well, and swaps and futures in a helpful (but by no means comprehensive) way. It also covers interest rate modeling and assumptions with particular attention to credit spreads (but again, as an introduction, not a comprehensive treatment). The lightest chapter is on securtized products (MBS, ABS, CAT bonds, etc.), but those sub-fields are best left to specialized texts (which hopefully these authors will write and address with better clarity than you-know-who). Unlike a lot of books I have purchased on fixed-income for school, teaching, and work, this one is definitely worth it. I highly recommend it as a through introduction to a broad range of fixed income instruments, but also recommend that folks looking for specifics in sub fields (high yield, distressed, asset-backed, structured products, etc.) turn to more specialized texts. I now recommend this text to my students over others available covering the same material.

10 of 13 people found the following review helpful:

5.0 out of 5 stars If you really want to learn!, August 4, 2004

By 

A. Komuda "AK" (BUNKER HILL, WV) - See all my reviews
(REAL NAME)   

This review is from: Fixed-Income Securities: Valuation, Risk Management and Portfolio Strategies (The Wiley Finance Series) (Paperback)

Without any financial background, I have learned all details of fixed income securities. The book is accessible to reader and easy to grasp without any previous introductory texts. All theory is backed up by number of exercises - after every chapter. If you really want to learn by practical approach and avoid dry theory and confusing explanation by the rest of so called classic books for securities, this is the book for you.