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    Bond Pricing and Portfolio Analysis Protecting Investors in the Long Run

    ISBN-10: 0262041855
    ISBN-13: 9780262041850
    Author(s): Olivier De La Grandville
    Description: This text makes accessible the most important methodological advances in bond evaluation from the past twenty years. With uncommon precision and a strong emphasis on the underlying economic fundamentals, Olivier de La Grandville presents a unified  More...
    List price: $95.00
    Buy it from: $1.70
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    List Price: $95.00
    Publisher: MIT Press
    Binding: Hardcover
    Pages: 473
    Size: 7.00" wide x 9.00" long x 1.25" tall
    Weight: 2.244
    Language: English

    This text makes accessible the most important methodological advances in bond evaluation from the past twenty years. With uncommon precision and a strong emphasis on the underlying economic fundamentals, Olivier de La Grandville presents a unified framework for understanding the basic tools of bond evaluation, including duration, convexity, and immunization. Among the book's most valuable contributions is a general immunization theorem that can be used by practitioners to protect investors against any change in the structure of spot interest rates. Also of note is the detailed presentation of the Heath-Jarrow-Morton model and a discussion of its relationships with classical immunization schemes. Each chapter is followed by a series of questions, problem sets, and projects; detailed solutions to all of them appear at the end of the book. Although the treatment is thorough and rigorous, the presentation throughout the book is intuitive.

    Introduction
    A First Visit to Interest Rates and Bonds
    An Arbitrage-Enforced Valuation of Bonds
    The Various Concepts of Rates of Return on Bonds: Yield to Maturity and Horizon Rate of Return
    Duration: Definition, Main Properties, and Uses
    Duration at Work: The Relative Bias in the T-Bond Futures Conversion Factor
    Immunization: A First Approach
    Convexity: Definition, Main Properties, and Uses
    The Importance of Convexity in Bond Management
    The Yield Curve and the Term Structure of Interest Rates
    Immunizing Bond Portfolios Against Parallel Moves of the Spot Rate Structure
    Continuous Spot and Forward Rates of Return, with Two Important Applications
    Two Important Applications
    Estimating the Long-Term Expected Rate of Return, Its Variance, and Its Probability Distribution
    Introducing the Concept of Directional Duration
    A General Immunization Theorem, and Applications
    Arbitrage Pricing in Discrete and Continuous Time
    The Heath-Jarrow-Morton Model of Forward Interest Rates, Bond Prices, and Derivatives
    The Heath-Jarrow-Morton Model at Work: Applications to Bond Immunization
    By Way of Conclusion: Some Further Steps
    Answers to Questions
    Further Reading
    References
    Index

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