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Record Nr. |
UNINA9910974891503321 |
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Autore |
La Grandville Olivier de |
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Titolo |
Bond pricing and portfolio analysis : protecting investors in the long run / / Olivier de la Grandville |
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Pubbl/distr/stampa |
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Cambridge, Mass., : MIT Press, 2001 |
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ISBN |
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9786612097225 |
9781282097223 |
1282097229 |
9780262274241 |
0262274248 |
9781423746799 |
1423746791 |
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Edizione |
[1st ed.] |
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Descrizione fisica |
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Disciplina |
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Soggetti |
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Bonds - Prices |
Interest rates |
Investment analysis |
Portfolio management |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Monografia |
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Note generali |
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Nota di bibliografia |
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Includes bibliographical references (p. 441-446) and index. |
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Nota di contenuto |
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Intro -- INTRODUCTION -- 1 A FIRST VISIT TO INTEREST RATES AND BONDS -- 2 AN ARBITRAGE-ENFORCED VALUATION OF BONDS -- 3 THE VARIOUS CONCEPTS OF RATES OF RETURN ON BONDS: YIELD TO MATURITY AND HORIZON RATE OF RETURN -- 4 DURATION: DEFINITION, MAIN PROPERTIES, AND USES -- 5 DURATION AT WORK: THE RELATIVE BIAS IN THE T-BOND FUTURES CONVERSION FACTOR -- 6 IMMUNIZATION: A FIRST APPROACH -- 7 CONVEXITY: DEFINITION, MAIN PROPERTIES, AND USES -- 8 THE IMPORTANCE OF CONVEXITY IN BOND MANAGEMENT -- 9 THE YIELD CURVE AND THE TERM STRUCTURE OF INTEREST RATES -- 10 IMMUNIZING BOND PORTFOLIOS AGAINST PARALLEL MOVES OF THE SPOT RATE STRUCTURE -- 11 CONTINUOUS SPOT AND FORWARD RATES OF RETURN, WITH TWO IMPORTANT APPLICATIONS -- 12 TWO IMPORTANT APPLICATIONS -- |
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13 ESTIMATING THE LONG-TERM EXPECTED RATE OF RETURN, ITS VARIANCE, AND PROBABILITY DISTRIBUTION -- 14 INTRODUCING THE CONCEPT OF DIRECTIONAL DURATION -- 15 A GENERAL IMMUNIZATION THEOREM, AND APPLICATIONS -- 16 ARBITRAGE PRICING IN DISCRETE AND CONTINUOUS TIME -- 17 THE HEATH-JARROW-MORTON MODEL OF FORWARD INTEREST RATES, BOND PRICES, AND DERIVATIVES -- 18 THE HEATH-JARROW-MORTON MODEL AT WORK: APPLICATIONS TO BOND IMMUNIZATION -- BY WAY OF CONCLUSION: SOME FURTHER STEPS -- ANSWERS TO QUESTIONS -- FURTHER READING -- REFERENCES -- INDEX. |
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