Fixed-Income Securities : Valuation, Risk Management and Portfolio Strategies.<br>Solutions to problems (link below).<br>www.wiley.com//legacy/wileychi/martellini/supp/solutions

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Livre

Auteur : MARTELLINI Lionel ; PRIAULET Philippe ; PRIAULET Stéphane

Editeur : WILEY

Date : 2003

Pages : 631

ISBN : 0-470-85277-1

Cote : 134.54-MARTE

Mots Clés : MARCHE DES CAPITAUX ; MATHEMATIQUES ; TAUX D'INTERET ; SWAP ; GESTION DE PORTEFEUILLE

Nbre d'exemplaires : 12

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Commentaire : www.wiley.com//legacy/wileychi/martellini/supp/solutions_students.pdf

Sommaire : Contents
Part I. Investment Environment.
1. Bonds and Money-Market Instruments.
2. Bond Prices and Yields.
Part II. Term Structure of Interest Rates.
3. Empirical Properties and Classical Theories of the Term Structure.
4. Deriving the Zero-Coupon Yield Curve.
Part III. Hedging Interest Rate Risk.
5. Hedging Interest-Rate Risk with Duration.
6. Beyond Duration.
Part IV. Investment Strategies.
7. Passive Fixed-Income Portfolio Management.
8. Active Fixed-Income Portfolio Management.
9. Performance Measurement on Fixed-Income Portfolios.
Part V. Swaps and Futures.
10. Swaps.
11. Forwards and Futures.
Part VI. Modeling the Term Structure of Interest Rates and Credit Spreads.
12. Modeling the Yield Curve Dynamics.
13. Modeling the Credit Spreads Dynamics.
Part VII. Plain Vanilla Options and More Exotic Derivatives.
14. Bonds with Embedded Options and Options on Bonds.
15. Options on Futures, Caps, Floors and Swaptions.
16. Exotic Options and Credit Derivatives.
Part VIII. Securitization.
17. Mortgage-Backed Securities.
18. Asset-Backed Securities.