{"product_id":"fixed-income-securities-isbn-9780471495024","title":"Fixed-Income Securities","description":"Dynamic methods for interest rate risk pricing and hedging.\u003cbr\u003e \u003cbr\u003e 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.\u003cbr\u003e \u003cbr\u003e 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.\u003cbr\u003e \u003cbr\u003e 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\u003cbr\u003e \u003cbr\u003e This is the most comprehensive theoretical treatment of thesubject I ve ever seen. Mark Rubinstein, Haas School of Business,University of California\u003cbr\u003e \u003cbr\u003e An excellent review of interest rate models and of the pricing andhedging principles in the fixed-income area.Oldrich Alfons Vasicek,KMV Corporation Introduction.\u003cbr\u003e \u003cbr\u003e Acknowledgments.\u003cbr\u003e \u003cbr\u003e Standard Notation.\u003cbr\u003e \u003cbr\u003e PRICING AND HEDGING CERTAIN CASH-FLOWS\u003cbr\u003e \u003cbr\u003e Deriving the Current Zero-Coupon Rate Curve.\u003cbr\u003e \u003cbr\u003e Basic Assets Pricing and Hedging.\u003cbr\u003e \u003cbr\u003e PRICING AND HEDGING UNCERTAIN CASH-FLOWS.\u003cbr\u003e \u003cbr\u003e Modelling the Zero-Coupon Yield Curve Dynamics.\u003cbr\u003e \u003cbr\u003e Pricing and Hedging Fixed-Income Derivatives.\u003cbr\u003e \u003cbr\u003e MATHEMATICAL APPENDICES.\u003cbr\u003e \u003cbr\u003e Appendix A: An Introduction to Stochastic Processes in ContinuousTime.\u003cbr\u003e \u003cbr\u003e Appendix B: Numerical Methods.\u003cbr\u003e \u003cbr\u003e References.\u003cbr\u003e \u003cbr\u003e Index. \"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\u003cbr\u003e \"This is the most comprehensive theoretical treatment of thesubject I've ever seen.\" - Mark Rubinstein, Haas School ofBusiness, University of California\u003cbr\u003e \"An excellent review of interest rate models and of the pricingand hedging principles in the fixed-income area. \" - Oldrich AlfonsVasicek, KMV Corporation Lionel Martellini is an Assistant Professor of Finance at the Marshall School of Business, University of Southern California. He holds Master's degrees in Business Administration, Economics, Statistics, and Mathematics, and a PhD in Finance (U.C. Berkeley). He conducts active research in derivatives pricing, credit risk analysis, and quantitative portfolio management and has served as a consultant in these fields for various other financial institutions, in particular ACT Financial Systems. Philippe Priaulet is the Head of Fixed Income Research at Credit Commercial de France (CCF -- Direction of Research and Innovation), member of HSBC group, where he is particularly involved in the bank's risk management process. His expertise is related to quantitative finance in general and term structure models in particular. He holds a Master's degree in Business Administration, and a PhD in Financial Economics (Universite Paris-IX Dauphine). He also teaches quantitative methods to students in economics and finance at Universite Paris-IX Dauphine. Fixed-Income Securities is essential reading for those involved with and requiring a detailed understanding of fixed-income securities. Combining theory with an abundance of practical examples and illustrations, this book provides a comprehensive treatment of the subject. The first part of the book is devoted to the question of hedging and pricing certain cash-flows in the presence of interest rate risk. The level of mathematical sophistication involved for a good understanding of that material is relatively limited, and essentially includes basic notions of calculus and statistics. Hence, this first part should be accessible to those with no background in the theory of stochastic processes. The second part of the book is devoted to the question of hedging and pricing uncertain cash-flows, such as cash-flows generated by any fixed-income contingent claim, in the presence of interest rate risk. It involves more sophisticated mathematical tools, especially those borrowed from stochastic calculus, which are introduced in an Appendix. As such, this second part is more suited to students and professionals with exposure to, or at least appetite for, a more quantitative treatment of financial concepts.   \u003ci\u003eFixed-Income Securities\u003c\/i\u003e 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 \u003cul\u003e \u003cli\u003eProvides comprehensive coverage of pricing and hedging fixed-income securities\u003c\/li\u003e \u003cli\u003eContains numerous real-world examples and applications\u003c\/li\u003e \u003cli\u003eOffers an accessible and well-structured exposition of a technically difficult area\u003c\/li\u003e \u003c\/ul\u003e \u003ci\u003eFixed-Income Securities\u003c\/i\u003e will be of interest to both finance practitioners and students.  \u003cp\u003e\"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\u003c\/p\u003e \u003cp\u003e\"This is the most comprehensive theoretical treatment of the subject I?ve ever seen.\" Mark Rubinstein, Haas School of Business, University of California\u003c\/p\u003e","brand":"Wiley","offers":[{"title":"Default Title","offer_id":47989219918053,"sku":"NP9780471495024","price":173.0,"currency_code":"USD","in_stock":false}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/1842\/7735\/files\/9780471495024.jpg?v=1761783256","url":"https:\/\/k12savings.com\/products\/fixed-income-securities-isbn-9780471495024","provider":"K12savings","version":"1.0","type":"link"}