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Asset Allocation
Fixed Income Securities: Valuation, Risk Management and Portfolio Strategies

Authors: Lionel Martellini, Philippe Priaulet, Stephane Priaulet
Editions: John Wiley & Sons
Pages: 820 pages
Date: May 2003
 
 
 
Summary
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 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.

Lionel Martellini, PhD, is professor of finance at EDHEC Business and Scientific Director of EDHEC-Risk Institute. He is a member of the Editorial Board of the Journal of Portfolio Management and the Journal of Alternative Investments. His expertise is in derivatives valuation and optimal portfolio strategies, and his research has been published in leading academic and practitioner journals. He has also co-authored several books in the area of fixed-income securities and alternative investment strategies.

 
 
There is currently no suitable text that offers a 'Hull-type' book for the fixed income student market. This textbook, designed for fixed-income securities courses taught on MSc Finance and MBA courses, aims to fill this need. The text is supported by a set of PowerPoint slides for use by the lecturer. The book contains numerous worked examples and Excel spreadsheets, with a building block approach throughout. A key feature of the book is the coverage of both traditional and alternative investment strategies in the fixed-income market, e.g. the modern strategies used by fixed-income hedge funds. It 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.