## Bond Pricing and Portfolio Analysis: Protecting Investors in the Long RunThis 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. |

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### Contents

A First Visit to Interest Rates and Bonds I | 1 |

An ArbitrageEnforced Valuation of Bonds | 25 |

Yield to Maturity and Horizon Rate of Return | 59 |

Definition Main Properties and Uses | 71 |

The Relative Bias in the TBond Futures Conversion Factor | 95 |

A First Approach | 143 |

Definition Main Properties and Uses | 153 |

The Importance of Convexity in Bond Management | 171 |

Two Important Applications | 237 |

Estimating the LongTerm Expected Rate of Return Its Variance and Its Probability Distribution | 267 |

Introducing the Concept of Directional Duration | 295 |

A General Immunization Theorem and Applications | 307 |

Arbitrage Pricing in Discrete and Continuous Time | 329 |

The HeathJarrowMorton Model of Forward Interest Rates Bond Prices and Derivatives | 359 |

Applications to Bond Immunization | 383 |

Some Further Steps | 405 |

The Yield Curve and the Term Structure of Interest Rates | 183 |

Immunizing Bond Portfolios Against Parallel Moves of the Spot Rate Structure | 209 |

Continuous Spot and Forward Rates of Return with Two Important Applications | 221 |

Answers to Questions | 411 |

Further Reading | 437 |

### Other editions - View all

Bond Pricing and Portfolio Analysis: Protecting Investors in the Long Run Olivier de La Grandville No preview available - 2001 |