[BOOK][B] Fixed-income securities: valuation, risk management and portfolio strategies

L Martellini, P Priaulet, S Priaulet - 2003 - books.google.com
… By the way, we are aware that “Martellini, Priaulet and Priaulet” is a long, funny-sounding
reference name. Please feel free to refer our textbook to your students as MPP, or MP2 (MP …

[PDF][PDF] Predictability in the shape of the term structure of interest rates

FJ Fabozzi, L Martellini, P Priaulet - Journal of Fixed Income, 2005 - hughchristensen.com
… the probability p that changes in beta parameters are positive. In a thick modeling
approach, one is left with n potentially conflicting predictions at each date. We denote by p. the …

[BOOK][B] Advanced bond portfolio management: best practices in modeling and strategies

FJ Fabozzi, L Martellini, P Priaulet - 2006 - books.google.com
… to Philippe Priaulet as a representative, officer, or employee of Natexis Banques Populaires.
… We will denote R(P) as the portfolio’s return and R(B) the benchmark’s return. The most …

Competing methods for option hedging in the presence of transaction costs

L Martellini, P Priaulet - The Journal of Derivatives, 2002 - pm-research.com
… In this article, Martellini and Priaulet examine this issue in an extensive simulation exercise.
Among their results, they find that delta-based rebalancing works best under proportional …

Hedging interest rate risk with term structure factor models

L Martellini, P Priaulet, FJ Fabozzi… - Advanced Bond Portfolio …, 2012 - Wiley Online Library
This chapter shows how term structure factor models can be used in interest rate risk
management. These models have been designed to better account for the complex nature of …

[CITATION][C] PCA of the yield curve dynamics: questions of methodologies

S Lardic, P Priaulet, S Priaulet - Conférence Internationale en …, 2001 - pascal-francis.inist.fr
… Author LARDIC, S 1 ; PRIAULET, P 1 ; PRIAULET, S 2 … 2001, 31 p., ref : 2 p

[CITATION][C] Fixed-income securities: dynamic methods for interest rate risk pricing and hedging

L Martellini, P Priaulet - (No Title), 2001 - cir.nii.ac.jp
Priaulet, Philippe … 責任表示 Lionel Martellini and Philippe Priaulet

[CITATION][C] Understanding the butterfly strategy

L Martellini, P Priaulet, S Priaulet - Journal of Bond Trading and Management, 2002

[CITATION][C] Optimal dynamic hedging in the presence of transaction costs: an empirical investigation

L Martellini, P Priaulet - 2000 - working paper, University of …

[CITATION][C] Competing investment strategies in the presence of market frictions

S El Bied, L Martellini, P Priaulet - 2002 - USC working paper