Martellini L., Priaulet P., Priaulet S. Fixed-Income Securities Valuation, Risk Management and Portfolio Strategies

West Sussex: John Wiley & Sons Ltd, 2012. — 664 p.Bonds and Money-Market Instruments.
Bond Prices and Yields.
Empirical Properties and Classical Theories of the Term Structure.
Deriving the Zero-Coupon Yield Curve.
Hedging Interest-Rate Risk with Duration.
Beyond Duration.
Passive Fixed-Income Portfolio Management.
Active Fixed-Income Portfolio Management.
Performance Measurement on Fixed-Income Portfolio.
Swaps.
Forwards and Futures.
Modeling the Yield Curve Dynamics.
Modeling the Credit Spreads Dynamics.
Bonds with Embedded Options and Options on Bonds.
Options on Futures, Caps, Floors and Swaptions.
Exotic Options and Credit Derivatives.
Mortgage-Backed Securities.
Asset-Backed Securities.