| Fixed Income Securities: Dynamic Methods for Interest Rate Risk Pricing and Hedging Contributor(s): Martellini, Lionel (Author), Priaulet, Philippe (Author) |
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ISBN: 0471495026 ISBN-13: 9780471495024 Publisher: John Wiley & Sons OUR PRICE: $164.35 Product Type: Hardcover - Other Formats Published: January 2001 Annotation: "Fixed-Income Securities" provides a survey of modern methods for pricing and hedging fixed-income securities in the presence of interest rate risk. Modern theory of finance provides a wealth of new approaches to the important question of interest rate risk management, and this book brings them together in a comprehensive and thorough treatment of the subject. Structured in an accessible manner, the authors begin by focusing on pricing and hedging certain cash flows, before moving on to consider pricing and hedging uncertain cash flows. In addition to the theoretical explanation, the authors provide numerous real-world examples and applications throughout. Fixed-Income Securities
"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 Ive ever seen." Mark Rubinstein, Haas School of Business, University of California |
| Additional Information |
| BISAC Categories: - Business & Economics | Finance - General - Business & Economics | Investments & Securities - General |
| Dewey: 332.632 |
| LCCN: 00043341 |
| Series: Frontiers in Finance |
| Physical Information: 0.81" H x 6.25" W x 9.32" (1.16 lbs) 264 pages |
| Descriptions, Reviews, Etc. |
| Publisher Description: 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 by focusingon pricing and hedging certain cash flows, before moving on toconsider pricing and hedging uncertain cash flows. In addition tothe theoretical explanation, the authors provide numerousreal-world examples and applications throughout. This is the first book I have seen to carefully cover such a wideset 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 of Business, University of California An excellent review of interest rate models and of the pricing andhedging principles in the fixed-income area.Oldrich Alfons Vasicek, KMV Corporation |