Dynamic methods for interest rate risk pricing and hedging.

Fixed-Income Securities provides a survey of modern methods for pricing and hedging fixed-income securities in the presence of interest rate risk. Modern theory of finance provides a wealth of new approaches to the important question of interest rate risk management, and this book brings them together, in a comprehensive and thorough treatment of the subject.

Structured in an accessible manner, the authors begin by focusing on pricing and hedging certain cash flows, before moving on to consider pricing and...

In order to effectively employ portfolio strategies that can control interest rate risk and/or enhance returns, you must understand the forces that drive bond markets, as well as the valuation and risk management practices of these complex securities. In Advanced Bond Portfolio Management, Frank Fabozzi, Lionel Martellini, and Philippe Priaulet have brought together more than thirty experienced bond market professionals to help you do just that.

Divided into six comprehensive parts, Advanced Bond Portfolio Management will guide you through the state-of-the-art...