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

664 Pages·2003·5.173 MB·English

by  Lionel Martellini, Philippe Priaulet, Stéphane Priaulet

Fixed-Income Securities
Valuation, Risk Management and Portfolio Strategies
Lionel Martellini
Philippe Priaulet
and
Ste´phane Priaulet

Fixed-Income Securities
WileyFinanceSeries
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Risk DidierCossinandHuguesPirotte
InterestRateModelling JessicaJamesandNickWebber
VolatilityandCorrelationinthePricingofEquity,FXandInterest-RateOptions RiccardoRebonato
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edition) RiccardoRebonato
Fixed-Income Securities
Valuation, Risk Management and Portfolio Strategies
Lionel Martellini
Philippe Priaulet
and
Ste´phane Priaulet
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Martellini,Lionel.
Fixed-incomesecurities: valuation,riskmanagement,andportfoliostrategies/Lionel
Martellini,PhilippePriaulet,andSte´phanePriaulet
p.cm.—(Wileyfinanceseries)
Includesbibliographicalreferencesandindex.
ISBN0-470-85277-1(pbk.:alk.paper)
1.Fixed-incomesecurities—Mathematicalmodels.2.Portfolio
management—Mathematicalmodels.3.Bonds—Mathematicalmodels.4.Hedging
(Finance)—Mathematicalmodels.I. Priaulet,Philippe.II.Priaulet,Ste´phane.III.Title.IV.
Series.
HG4650.M3672003
(cid:2)
332.632044—dc21 2003041167
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Contents
About the Authors xix
Preface xxi
Acknowledgments xxv
Notation xxvii
PART I
INVESTMENT ENVIRONMENT
1 Bonds and Money-Market Instruments 3
1.1 Bonds 3
1.1.1 General Characteristics of Bonds 3
1.1.2 Bonds by Issuers 17
1.2 Money-Market Instruments 25
1.2.1 Definition 25
1.2.2 The Role of the Central Bank 25
1.2.3 T-Bills 26
1.2.4 Certificates of Deposit 28
1.2.5 Bankers’ Acceptances 29
1.2.6 Commercial Papers 29
1.2.7 Interbank Deposits 30
1.2.8 Repo and Reverse Repo Market Instruments 30
1.3 End of Chapter Summary 32
1.4 References and Further Reading 33
1.4.1 Books and Papers 33
1.4.2 Websites and Others 33
1.5 Problems 34
1.5.1 Problems on Bonds 34
1.5.2 Problems on Money-Market Instruments 36
1.6 Appendix: Sector Breakdown of the Euro, the UK and the Japan
Corporate Bond Markets 37
2 Bond Prices and Yields 41
2.1 Introduction to Bond Pricing 41
2.2 Present Value Formula 43