Product Description

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

Product Details

• Amazon Sales Rank: #207475 in Books
• Published on: 2003-05-28
• Original language: English
• Number of items: 1
• Binding: Paperback
• 662 pages

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.

About the Author
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 practitioners′ journals. Formerly, he was head of fixed–income research in the Research and Innovation Department of HSBC–CCF.

Stéphanie 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.

Customer Reviews

A Complete Waste of Money and Time
The book starts with very basic introduction to fixed income and then suddenly from chapter 6 turns into some kind of math textbook. Who is the target market of this book? Definitely not practitioners. To use this book you need to have an excellent knowledge of probability theory, econometrics, calculus and you need to have a good theoretical degree in either finance or economics. The trouble is, of course, that those who have this knowledge do not read such book. Instead they read the actual academic journals. I did my BCom and my MSc in Finance and I am currently studying for my CFA level 3 and I currently work as a Fixed Income Strategist so I would consider myself as at least "average" in terms of my education and knowledge of fixed income markets and I can tell you that I can not understand more than half of what is in that book, and I don't want to either. Most of those "rocket-science" term-structure models are useless anyway.

So if the book is not for practitioners then maybe it is for students? Well, I think any professor would have to be nuts to torture students with such a poorly written book. There are so many other, more useful and better written books.

Please do not waste your money.

Very useful for students & practitioners of fixed income
I have been using this book since publication and have found it really good in terms of reference. It has very good detail and is very practical as it includes countless worked examples and Bloomberg sample screens.

An excellent book for fixed income practitoners
I like the comprehensiveness of the book, which covers all you have to know about the fixed income market. It also includes real-life examples and practical models which are used by investment banks. The book is also a very reader friendly. I highly recommend it.