Fixed-income securities : valuation, risk management and portfolio strategies

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Fixed-income securities : valuation, risk management and portfolio strategies / Lionel Martellini, Philippe Priaulet and Stéphane Priaulet

資料種別:

図書

出版情報:

Chichester, England ; Hoboken, N.J. : Wiley, c2003

形態:

xxix, 631 p. ; 25 cm

シリーズ名:

Wiley finance series <BA5197584X>

著者名:

ISBN:

9780470852774 [0470852771] (: pbk)

書誌ID:

BA6566664X

子書誌情報

フルテキスト

所蔵情報

他の版・巻

書誌詳細

注記:

Includes bibliographical references and indexes

主題:

Bonds--Mathematical models; Fixed-income securities--Mathematical models; Hedging (Finance)--Mathematical models; Portfolio management--Mathematical models

言語:

英語

目次情報:

Investment Environment / Part I：

Bonds and Money-Market Instruments / 1：

Bond Prices and Yields / 2：

Term Structure of Interest Rates / Part II：

Empirical Properties and Classical Theories of the Term Structure / 3：

Deriving the Zero-Coupon Yield Curve / 4：

Hedging Interest Rate Risk / Part III：

Hedging Interest-Rate Risk with Duration / 5：

Beyond Duration / 6：

Investment Strategies / Part IV：

Passive Fixed-Income Portfolio Management / 7：

Active Fixed-Income Portfolio Management / 8：

Performance Measurement on Fixed-Income Portfolios / 9：

Swaps and Futures / Part V：

Swaps / 10：

Forwards and Futures / 11：

Modeling the Term Structure of Interest Rates and Credit Spreads / Part VI：

Modeling the Yield Curve Dynamics / 12：

Modeling the Credit Spreads Dynamics / 13：

Plain Vanilla Options and More Exotic Derivatives / Part VII：

Bonds with Embedded Options and Options on Bonds / 14：

Options on Futures, Caps, Floors and Swaptions / 15：

Exotic Options and Credit Derivatives / 16：

Securitization / Part VIII：

Mortgage-Backed Securities / 17：

Asset-Backed Securities / 18：

Subject Index

Author Index

Investment Environment / Part I：

Bonds and Money-Market Instruments / 1：

Bond Prices and Yields / 2：

Term Structure of Interest Rates / Part II：

Empirical Properties and Classical Theories of the Term Structure / 3：

Deriving the Zero-Coupon Yield Curve / 4：

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