Lionel Martellini is an Assistant Professor of Finance at the Marshall School of Business, University of Southern California. He holds Master's degrees in Business Administration, Economics, Statistics, and Mathematics, and a PhD in Finance (U.C. Berkeley). He conducts active research in derivatives pricing, credit risk analysis, and quantitative portfolio management and has served as a consultant in these fields for various other financial institutions, in particular ACT Financial Systems. Philippe Priaulet is the Head of Fixed Income Research at Credit Commercial de France (CCF -- Direction of Research and Innovation), member of HSBC group, where he is particularly involved in the bank's risk management process. His expertise is related to quantitative finance in general and term structure models in particular. He holds a Master's degree in Business Administration, and a PhD in Financial Economics (Universite Paris-IX Dauphine). He also teaches quantitative methods to students in economics and finance at Universite Paris-IX Dauphine.
PRICING AND HEDGING CERTAIN CASH-FLOWS
Deriving the Current Zero-Coupon Rate Curve.
Basic Assets Pricing and Hedging.
PRICING AND HEDGING UNCERTAIN CASH-FLOWS.
Modelling the Zero-Coupon Yield Curve Dynamics.
Pricing and Hedging Fixed-Income Derivatives.
Appendix A: An Introduction to Stochastic Processes in Continuous Time.
Appendix B: Numerical Methods.