Fixed-Income Securities: Valuation, Risk Management and Portfolio Strategies pdf

[...]... of investors and enable borrowers to reduce their costs of raising funds In order to effectively employ portfolio strategies that may control interest-rate risk and/ or enhance returns, investors must understand the forces that drive bond markets and the valuation of these complex securities and their derivative products What this Book is About This book is about interest rates and risk management in... Abou Saleh, Alexandre Van den Brande and Franck Viollet for their comments and suggestions Notation This glossary contains some standard definitions and notations that are used throughout the book • α is the risk- adjusted expected return on a bond portfolio • β0 , β1 and β2 are the parameters measuring respectively the level, slope and curvature of the term structure in the Nelson and Siegel (1987)... valuation and optimal portfolio strategies, and his research has been published in leading academic and practitioners’ journals He has also served as a consultant for various international institutions on these subjects Philippe Priaulet is a fixed-income strategist in charge of derivatives strategies for HSBC His expertise is related to fixed-income asset management and derivatives pricing and hedging, and. .. 16.1.9 Index Amortizing Bonds and Swaps 16.1.10 Marked-to-Market Caps 16.1.11 Moving Average Caps and Floors 16.1.12 N-Caps and Floors 16.1.13 Q-Caps and Floors 16.1.14 Range Accrual Swaps 16.1.15 Ratchet Caps and Floors 16.1.16 Reflex Caps and Floors 16.1.17 Rental Caps and Floors 16.1.18 Rolling Caps and Floors 16.1.19 Spread Options 16.1.20 Subsidized Swaps 16.1.21 Pricing and Hedging Interest-Rate Exotic... 15.2 Caps, Floors and Collars 15.2.1 Definition and Terminology 15.2.2 Pricing and Hedging Caps, Floors and Collars 15.2.3 Market Quotes 15.2.4 Uses of Caps, Floors and Collars 15.3 Swaptions 15.3.1 Definition and Terminology 15.3.2 Pricing and Hedging Swaptions 15.3.3 Market Quotes 15.3.4 Uses of Swaptions 15.4 End of Chapter Summary 15.5 References and Further Reading 15.5.1 Books and Papers 15.5.2... “fixed-income securities” at the MBA level He is also a research associate at the EDHEC Risk and Asset Management Research Center, and a member of the editorial boards of The Journal of Bond Trading and Management and The Journal of Alternative Investments He holds master’s degrees in business administration, economics, statistics and mathematics, as well as a Ph.D in finance from the Haas School of Business,... The Dynamics of L(t, θ) and K(t, t + θ) 15.11.4 Pricing of Caps 15.11.5 Calibration of the Model Exotic Options and Credit Derivatives 16.1 Interest-Rate Exotic Options 16.1.1 Barrier Caps and Floors 16.1.2 Bounded Caps, Floors, Barrier Caps and Floors 16.1.3 Cancelable Swaps 16.1.4 Captions and Floortions 16.1.5 Choosercaps and Flexicaps -and- Floors 16.1.6 Contingent Premium Caps and Floors 16.1.7 Extendible... Summary References and Further Reading Problems Appendix: A Useful Modified Newton’s Algorithm 130 130 132 132 133 136 136 137 142 144 146 155 PART III HEDGING INTEREST-RATE RISK 5 Hedging Interest-Rate Risk with Duration 5.1 Basics of Interest-Rate Risk: Qualitative Insights 5.1.1 The Five Theorems of Bond Pricing 5.1.2 Reinvestment Risk 5.1.3 Capital Gain Risk 5.1.4 Qualifying Interest-Rate Risk 5.2 Hedging... cover in some detail the issues related to bond and fixed-income derivative pricing and hedging, we just could not find, in existing textbooks, the same level of depth in the analysis of active and passive bond portfolio strategies This is perhaps unfortunate because we have learnt a lot about active and passive bond portfolio strategies in the past thirty years or so While no financial economist or practitioner... for constructing the yield curve and hedging interest-rate risk, as well as a detailed overview of active and passive bond portfolio strategies and performance evaluation As such, they form a coherent whole that can be used for a shorter quarter course on the subject Chapters 10 to 18 cover a whole range of fixed-income securities, including swaps, futures, options, and so on This second half of the . Riccardo Rebonato Risk Management and Analysis vol. 1: Measuring and Modelling Financial Risk Carol Alexander (ed) Risk Management and Analysis vol. 2: New Markets and Products Carol Alexander (ed) Interest-Rate. class="bi x0 y0 w0 h0" alt="" Fixed-Income Securities Valuation, Risk Management and Portfolio Strategies Lionel Martellini Philippe Priaulet and St ´ ephane Priaulet Fixed-Income Securities Wiley. Models: Understanding, Analysing and Using Models for Exotic Interest-Rate Options (second edition) Riccardo Rebonato Fixed-Income Securities Valuation, Risk Management and Portfolio Strategies Lionel