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Duration, convexity, and other bond risk measures

Duration, convexity, and other bond risk measures (Loan 2 times)

Material type
단행본
Personal Author
Fabozzi, Frank J.
Title Statement
Duration, convexity, and other bond risk measures / Frank J. Fabozzi.
Publication, Distribution, etc
New Hope, Pa. :   Frank J. Fabozzi Associates ,   1999.  
Physical Medium
iii, 254 p. : ill. ; 24 cm.
ISBN
1883249635 9781883249632
Bibliography, Etc. Note
Includes bibliographical references and index.
Subject Added Entry-Topical Term
Bonds. Bond market.
000 00789namuu2200253ia 4500
001 000045429976
005 20080326145449
008 991011s1999 paua b 001 0 eng d
020 ▼a 1883249635
020 ▼a 9781883249632
035 ▼a (KERIS)REF000006383053
040 ▼a ABC ▼c ABC ▼d 211009
050 4 ▼a HG4651 ▼b .F33 1999
082 0 4 ▼a 332.63/23 ▼2 22
090 ▼a 332.6323 ▼b F121d
100 1 ▼a Fabozzi, Frank J.
245 1 0 ▼a Duration, convexity, and other bond risk measures / ▼c Frank J. Fabozzi.
260 ▼a New Hope, Pa. : ▼b Frank J. Fabozzi Associates , ▼c 1999.
300 ▼a iii, 254 p. : ▼b ill. ; ▼c 24 cm.
504 ▼a Includes bibliographical references and index.
650 0 ▼a Bonds.
650 0 ▼a Bond market.
945 ▼a KINS

Holdings Information

No. Location Call Number Accession No. Availability Due Date Make a Reservation Service
No. 1 Location Science & Engineering Library/Sci-Info(Stacks2)/ Call Number 332.6323 F121d Accession No. 121166183 Availability Available Due Date Make a Reservation Service B M

Contents information

Table of Contents

1. Overview.

2. The Reasons Why a Bond's Price Changes.

3. Price Volatility Characteristics of Bonds.

4. The Basics of Duration and Convexity.

5. Duration Measures of Bonds with Embedded Options and Foreign Bonds.

6. Duration and Convexity for Mortgage-Backed Securities.

7. Yield Curve Risk Measures.

8. Risk Measures for Interest Rate Derivatives.

9. Other Risk Measures.

10. Measuring Yield Volatility.

Index.


Information Provided By: : Aladin

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