Fixed-Income Securities: Valuation, Risk Management and by Lionel Martellini, Philippe Priaulet, Stéphane Priaulet

By Lionel Martellini, Philippe Priaulet, Stéphane Priaulet

This textbook may be designed for fixed-income securities classes taught on MSc Finance and MBA classes. there's presently no appropriate textual content that provides a 'Hull-type' ebook for the fastened source of revenue scholar marketplace. This e-book goals to fill this desire. The publication will include various labored examples, excel spreadsheets, with a development block procedure all through. A key characteristic of the booklet can be insurance of either conventional and replacement funding suggestions within the fixed-income industry, for instance, the booklet will hide the fashionable recommendations utilized by fixed-income hedge funds.
The textual content should be supported via a suite of PowerPoint slides to be used through the lecturer
First textbook designed for college kids written on fixed-income securities - a turning out to be market
Contains a number of labored examples throughout
Includes assurance of vital themes usually passed over in different books i.e. deriving the 0 yield curve, deriving credits spreads, hedging and likewise covers rate of interest and credits derivatives

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Additional info for Fixed-Income Securities: Valuation, Risk Management and Portfolio Strategies

Example text

The day-count type The most common types are Actual/Actual, Actual/365, Actual/360 and 30/360. Actual/Actual (Actual/365, Actual/360) means that the accrued interest between two given dates is calculated using the exact number of calendar days between the two dates divided by the exact number of calendar days of the ongoing year (365, 360). 30/360 means that the number of calendar days between the two dates is computed assuming that each month counts as 30 days. For example, using the 30/360 day-count basis, there are 84 days (2 ×30 +24 ) from 01/01/2001 to 03/25/2001 and 335 (11 × 30 + 5 ) from 01/01/2001 to 12/06/2001.

The Corporate Bond Market The Market Size In the context of a historically low level of interest rates, linked to a decreasing trend in inflation as well as in budget deficits, the corporate bond market is rapidly developing and growing. This strong tendency affects both supply and demand. While corporate supply is expanding, in relation with bank disintermediation, corporate demand is rising as more and more investors accustomed to dealing with only government bonds are including corporate bonds in their portfolios so as to capture spread and generate performance.

0 , β1 and β2 are the parameters measuring respectively the level, slope and curvature of the term structure in the Nelson and Siegel (1987) model. • β0 , β1 , β2 and β3 are the parameters measuring respectively the level, slope and curvatures of the term structure in the Svensson (1994) model. • (delta) is a measure of the first-order sensitivity of an option price with respect to small changes in the value of the underlying rate or asset. • γ (gamma) is a measure of the second-order sensitivity of an option price with respect to small changes in the value of the underlying rate or asset.

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