Bond Pricing and Portfolio Analysis Protecting Investors in the Long Run

Name: Bond Pricing and Portfolio Analysis Protecting Investors in the Long Run
Availability: OutOfStock
ISBN: 9780262041850

ISBN-10: 0262041855

ISBN-13: 9780262041850

Edition: 2003

Authors: Olivier De La Grandville

List price: $20.75

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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 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…

Book details

List price: $20.75
Copyright year: 2003
Publisher: MIT Press
Publication date: 9/11/2000
Binding: Hardcover
Pages: 474
Size: 7.00" wide x 9.00" long x 1.25" tall
Weight: 2.244
Language: English



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