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

De La Grandville, Olivier

 
9780262041850: Bond Pricing and Portfolio Analysis: Protecting Investors in the Long Run
Couverture rigide
ISBN 10 : 0262041855 ISBN 13 : 9780262041850
Editeur : The MIT Press, 2000

Synopsis

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.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

À propos de l'auteur

Olivier de La Grandville is Professor of Economics at the University of Geneva and Visiting Professor in the Department of Management Science and Engineering at Stanford University.

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
The MIT Press
Date d'édition
2000
Langue
anglais
ISBN 10 
0262041855
ISBN 13 
9780262041850
Reliure
Relié
Nombre de pages
473
Coordonnées du fabricant
non disponible
Personne responsable
non disponible