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Bond pricing and portfolio analysis : protecting investors in the long run / Olivier de la Grandville.

By: Material type: TextTextPublication details: Cambridge, Mass. : MIT Press, c2001.Description: xvii, 455 p. : ill., figs., tables ; 24 cmISBN:
  • 8120328884
Subject(s): DDC classification:
  • 332.6/ G748b 22
LOC classification:
  • HG4651 .L325 2001
Contents:
1. A First Visit to Interest Rates and Bonds -- 2. An Arbitrage-Enforced Valuation of Bonds -- 3. The Various Concepts of Rates of Return on Bonds: Yield to Maturity and Horizon Rate of Return -- 4. Duration: Definition, Main Properties, and Uses -- 5. Duration at Work: The Relative Bias in the T-Bond Futures Conversion Factor -- 6. Immunization: A First Approach -- 7. Convexity: Definition, Main Properties, and Uses -- 8. The Importance of Convexity in Bond Management -- 9. The Yield Curve and the Term Structure of Interest Rates -- 10. Immunizing Bond Portfolios Against Parallel Moves of the Spot Rate Structure -- 11. Continuous Spot and Forward Rates of Return, with Two Important Applications -- 12. Two Important Applications -- 13. Estimating the Long-Term Expected Rate of Return, Its Variance, and Its Probability Distribution -- 14. Introducing the Concept of Directional Duration -- 15. A General Immunization Theorem, and Applications --
16. Arbitrage Pricing in Discrete and Continuous Time -- 17. The Heath-Jarrow-Morton Model of Forward Interest Rates, Bond Prices, and Derivatives -- 18. The Heath-Jarrow-Morton Model at Work: Applications to Bond Immunization.
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Holdings
Item type Current library Collection Call number Copy number Status Date due Barcode Item holds
Book Book Daffodil International University Library General Stacks Non-fiction 332.6/ G748b (Browse shelf(Opens below)) 1 Available 010170
Total holds: 0

Includes bibliographical references (p. [441]-446) and index.

1. A First Visit to Interest Rates and Bonds -- 2. An Arbitrage-Enforced Valuation of Bonds -- 3. The Various Concepts of Rates of Return on Bonds: Yield to Maturity and Horizon Rate of Return -- 4. Duration: Definition, Main Properties, and Uses -- 5. Duration at Work: The Relative Bias in the T-Bond Futures Conversion Factor -- 6. Immunization: A First Approach -- 7. Convexity: Definition, Main Properties, and Uses -- 8. The Importance of Convexity in Bond Management -- 9. The Yield Curve and the Term Structure of Interest Rates -- 10. Immunizing Bond Portfolios Against Parallel Moves of the Spot Rate Structure -- 11. Continuous Spot and Forward Rates of Return, with Two Important Applications -- 12. Two Important Applications -- 13. Estimating the Long-Term Expected Rate of Return, Its Variance, and Its Probability Distribution -- 14. Introducing the Concept of Directional Duration -- 15. A General Immunization Theorem, and Applications --

16. Arbitrage Pricing in Discrete and Continuous Time -- 17. The Heath-Jarrow-Morton Model of Forward Interest Rates, Bond Prices, and Derivatives -- 18. The Heath-Jarrow-Morton Model at Work: Applications to Bond Immunization.

BBA

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