Bond Pricing and Portfolio Analysis: Protecting Investors in the Long Run

Front Cover
MIT Press, 2003 - Business & Economics - 473 pages
1 Review

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.

 

What people are saying - Write a review

User Review - Flag as inappropriate

hujhiiih;ihbtoilgu

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
Copyright

Other editions - View all

Common terms and phrases

References to this book

About the author (2003)

Julian Savulescu, Ph.D., is Uehiro Chair in Applied Ethics at the University of Oxford and the Director of the Oxford Centre for Applied Ethics. He is Head of the Melbourne-Oxford Stem Cell Collaboration, devoted to examining the ethical implications of cloningand embryonic stem cell research. Dr. Savulescu is Editor of theJournal of Medical Ethics. He has published articles in the British Medical Journal, Lancet, Australasian Journal of Philosophy, Bioethics, The American Journal of Bioethics, and the Medical Journal of Australia.

Bibliographic information