by Lionel Martellini, Philippe Priaulet, Stéphane Priaulet
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Product Description
This textbook will be designed for fixed-income securities courses taught on MSc Finance and MBA courses. There is currently no suitable text that offers a 'Hull-type' book for the fixed income student market. This book aims to fill this need. The book will contain numerous worked examples, excel spreadsheets, with a building block approach throughout. A key feature of the book will be coverage of both traditional and alternative investment strategies in the fixed-income market, for example, the book will cover the modern strategies used by fixed-income hedge funds. - The text will be supported by a set of PowerPoint slides for use by the lecturer
- First textbook designed for students written on fixed-income securities - a growing market
- Contains numerous worked examples throughout
- Includes coverage of important topics often omitted in other books i.e. deriving the zero yield curve, deriving credit spreads, hedging and also covers interest rate and credit derivatives
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Average Customer Review:
2 of 2 people found the following review helpful:
A sports car with chipped paint, 2008-02-17
..The image I am going for is that of something valuable and desirable, marred by minor but annoying defects. I am quite sure of the book's merits: comparing it with Fabozzi and Tuckman - I haven't read Choudhury's books - I consider it by far the most remarkable, a must-have and a keeper. The book's advantages are:
1. Broader coverage. The won't-find-elsewhere chapters are on yield-curve interpolation, PCA-aided multi-factor hedging, and FI strategies.
2. Wealth of examples, which alone makes it the best choice for a student.
3. Extensive bibliography. A typical chapter comes with 10-20 references including journals from JFI and JPM to JF and RFS.
About midway, the book starts talking about derivatives, and sags. Examples and references continue, formulas begin in earnest, but effective explanation does not follow. On this topic, the book faces numerous and strong competition, and comes behind.
The main problem is that the authors never hired an editor. 'Modelizations' aside, it's disappointing to see ambiguous/misleading language, or find errors in 'rules'. An editor might spot such wrinkles, or advise the authors to beef up some of the chapters (the one on performance evaluation, for example), trim or drop others, or curb the Scare-the-MBA Formula Fest in the derivatives part. I look forward to 2nd edition.
2 of 16 people found the following review helpful:
Mixed Feelings, 2006-03-22
Although I believe that a physics background is much helpful in understanding economy and finance rather than a mathematics background, I think a good knowledge of mathematics can make the financial concepts in this book be clearer to the reader more than the authors present. In other words, some finance persons are written this book yet the mathematics they use mean more in finance for mathematicians than its authors. Unfortunately in this book, the interpretation of mathematics in finance is much less than given by the authors, yet should be much more.
5 of 6 people found the following review helpful:
 Tremendous Resource, 2006-02-22
Finally a fixed income book to rival the Fabozzi syndicate. The primary advantage of this book is that the pedagogy is integrated and progressively builds understanding in the same manner as my best professors taught. It is a book of tools that, if mastered, will render an effective fixed income toolbox suitable for mid-level fixed income positions.
An aside on the math in the book . . .
Fixed income is a necessarily quantitative asset class. For example, duration and convexity are first and second derivatives of equations. However, to use duration and convexity you only need a modicum of algebra. Calculus and linear algebra will certainly lead to a deaper understanding of the topics, but it will not diminish usefulness if you lack the maths.
Imagine purchasing a book in french with the english translation on the facing page. Is the value of the book diminished because it includes my non-native french? In my opinion, no. Any [CFA, FRM, PRMIA, MBA student, finance/economics u-grad] has the chops to master the content in this book.
4 of 4 people found the following review helpful:
 Disappointing, 2005-08-30
I thought this book would be a comprehensive survey of fixed income securities. I guess I shouldn't put so much faith in book titles. The book was more like a study in archaic mathmatics.
After the first few chapters of everyday overview, the author feels compelled to burst into nebulous formulas and esoteric notation in a hyperactive manner much to breathless to bother with explaining anything.
Good for those who have doctoral degrees in math; bad for anyone else.
5 of 7 people found the following review helpful:
The best book on fixed-income, 2005-04-02
This book is for people proficient with mathematics. It is concise and well-written. I have read many other fixed-income books by Fabozzi and others and that are vague and wordy. This one, however, is practical, to the point and yet academically solid. I wish I had come over this book earlier! This book will once and for all learn you that duration of a bond is the investment horizon such that investor with that horizon will not care if interest rates drop or rice as long as changes are small. You will also learn that you need a three-factor model to price bonds. I especially enjoyed Chapter 7 on passive investment strategies. This chapter actually gives you an optimization model for bond index tracking. Chapter 8 on active investment strategies describes market timing strategies like the butterfly strategy. All chapters have references listed at the end. This is very useful if you want to study some topics in detail. I highly recommend this book.
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