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Bond pricing and portfolio analysis : protecting investors in the long run

Bond pricing and portfolio analysis : protecting investors in the long run (Loan 5 times)

Material type
단행본
Personal Author
La Grandville, Olivier de.
Title Statement
Bond pricing and portfolio analysis : protecting investors in the long run / Olivier de la Grandville.
Publication, Distribution, etc
Cambridge, Mass. :   MIT Press,   2001.  
Physical Medium
xvii, 455 p. : ill. ; 24 cm.
ISBN
0262041855
Bibliography, Etc. Note
Includes bibliographical references (p. 441-446) and index.
Subject Added Entry-Topical Term
Bonds -- Prices. Interest rates. Investment analysis. Portfolio management.
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005 20020208094748
008 000707s2001 nyua b 001 0 eng
010 ▼a 00058682
020 ▼a 0262041855
040 ▼a DLC ▼c DLC ▼d UKM ▼d 211009
042 ▼a pcc
049 1 ▼l 111197328
050 0 0 ▼a HG4651 ▼b .L325 2001
082 0 0 ▼a 332.63/23 ▼2 21
090 ▼a 332.6323 ▼b L178b
100 1 ▼a La Grandville, Olivier de.
245 1 0 ▼a Bond pricing and portfolio analysis : ▼b protecting investors in the long run / ▼c Olivier de la Grandville.
260 ▼a Cambridge, Mass. : ▼b MIT Press, ▼c 2001.
300 ▼a xvii, 455 p. : ▼b ill. ; ▼c 24 cm.
504 ▼a Includes bibliographical references (p. 441-446) and index.
650 0 ▼a Bonds ▼x Prices.
650 0 ▼a Interest rates.
650 0 ▼a Investment analysis.
650 0 ▼a Portfolio management.

Holdings Information

No. Location Call Number Accession No. Availability Due Date Make a Reservation Service
No. 1 Location Main Library/Western Books/ Call Number 332.6323 L178b Accession No. 111197328 Availability Available Due Date Make a Reservation Service B M

Contents information

Table of Contents


CONTENTS

Introduction = ⅸ

1 A First Visit to Interest Rates and Bonds = 1

2 An Arbitrage-Enforced Valuation of Bonds = 25

3 The Various Concepts of Rates of Return on Bonds : Yield to Maturity and Horizon Rate of Return = 59

4 Duration : Definition, Main Properties, and Uses = 71

5 Duration at Work : The Relative Bias in the T-Bond Futures Conversion Factor = 95

6 Immunization : A First Approach = 143

7 Convexity : Definition, Main Properties, and Uses = 153

8 The Importance of Convexity in Bond Management = 171

9 The Yield Curve and the Term Structure of Interest Rates = 183

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

11 Continuous Spot and Forward Rates of Return, with Two Important Applications = 221

12 Two Important Applications = 237

13 Estimating the Long-Term Expected Rate of Return. Its Variance, and Its Probability Distribution = 267

14 Introducing the Concept of Directional Duration = 295

15 A General Immunization Theorem, and Applications = 307

16 Arbitrage Pricing in Discrete and Continuous Time = 327

17 The Heath-Jarrow-Morton Model of Forward Interest Rates, Bond Prices, and Derivatives = 359

18 The Heath-Jarrow-Morton Model at Work : Applications to Bond Immunization = 383

 By Way of Conclusion : Some Further Steps = 405

Answers to Questions = 411

Further Reading = 437

References = 441

Index = 447



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