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Fixed-income Securities: Valuation, Risk Management and Portfolio Strategies (The Wiley Finance Series)
John Wiley & Sons Search John Wiley & Sons by Lionel Martellini Philippe Priaulet Stéphane Priaulet Phillipe Priaulet Stephane Priaulet Search Lionel Martellini Philippe Priaulet Stéphane Priaulet Phillipe Priaulet Stephane Priaulet
Customer Reviews:
Good comments, forget the maths
I have studied this book in dept now and have found it to be (almost) excellent. I started my quant career using Hulls book and although I found it good, however there still is a big jump from Hulls book to real world applications. Bear in mind though, that Hulls book is for derivatives whereas Martellini's is for the Fixed income world, still there is a big overlap (i.e. interest rate models, pricing, credit risk, exotics).
A lot of what you find in this book can be found in loads of others, however the real gem is where he tells you a) WHY you use these concepts and b) HOW you do these in practice and c) a REAL example of it(i.e. using issuer names and exchange names). This is helped by bloomberg screen shots and ticker codes . For example, hulls book, wilmott, baxter all talk about yield curves however type IYC 1
BUT the BIG drawback is the maths. His notation is very confusing and somewhat different than seen in other books. As a mathematician I believe he overdoes the use of notation, uses far to many sumation and sum product signs when use of bold font for vecors/matrices is both more appropiate and more recognisable
In a nut shell,
1) Use this book to understand the concepts and applications of these techniques but just skim the maths. That will be in loads of other books.
2) Get used to the initially confusing terminology and don't be put off by it. Its all spot-on relevant and makes the transition from practical to theoretical far easier
3) Read the introduction, then the conclusion to get the big picture and then concentrate on the detail
An excellent book for fixed income practitoners 
I like the comprehensiveness of the book, which covers all you have to know about the fixed income market. It also includes real-life examples and practical models which are used by investment banks. The book is also a very reader friendly. I highly recommend it.
A Complete Waste of Money and Time 
The book starts with very basic introduction to fixed income and then suddenly from chapter 6 turns into some kind of math textbook. Who is the target market of this book? Definitely not practitioners. To use this book you need to have an excellent knowledge of probability theory, econometrics, calculus and you need to have a good theoretical degree in either finance or economics. The trouble is, of course, that those who have this knowledge do not read such book. Instead they read the actual academic journals. I did my BCom and my MSc in Finance and I am currently studying for my CFA level 3 and I currently work as a Fixed Income Strategist so I would consider myself as at least "average" in terms of my education and knowledge of fixed income markets and I can tell you that I can not understand more than half of what is in that book, and I don't want to either. Most of those "rocket-science" term-structure models are useless anyway.
So if the book is not for practitioners then maybe it is for students? Well, I think any professor would have to be nuts to torture students with such a poorly written book. There are so many other, more useful and better written books.
Please do not waste your money.
Very useful for students & practitioners of fixed income
I have been using this book since publication and have found it really good in terms of reference. It has very good detail and is very practical as it includes countless worked examples and Bloomberg sample screens.
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