Fixed-Income Securities: Dynamic Methods for Interest Rate Risk Pricing and Hedging

Authors: Lionel Martellini & Phillipe Priaulet
Editions: John Wiley & Sons
Pages: 350 pages
Date: January 2001
This book provides a thorough explanation of modern methods for pricing and hedging fixed-income securities (i.e. government bonds, corporate bonds, treasury bills, and interest rate derivatives, etc.). The pricing and hedging of fixed-income products is technically more complicated than the pricing and hedging of equity instruments. The interest rate variable, which needs to be modeled, is not a traded quantity and this makes it very difficult to price and hedge the security. In this book, the authors set out to explain the various modeling techniques that can be used to price the various securities. Structured in a very accessible fashion, the first part of the book is devoted to hedging and pricing certain cash flows and the second part of the book then focuses on pricing and hedging uncertain cash flows, such as cash flows from derivatives.

Lionel Martellini is Professor of Finance at EDHEC Business School and Scientific Director of EDHEC-Risk Institute.

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