03235nam 22006854a 450 991097489150332120200520144314.09786612097225978128209722312820972299780262274241026227424897814237467991423746791(CKB)111035898479404(CtWfDGI)bkb00000038(SSID)ssj0000113686(PQKBManifestationID)11984544(PQKBTitleCode)TC0000113686(PQKBWorkID)10100172(PQKB)11433445(MiAaPQ)EBC3338518(Au-PeEL)EBL3338518(CaPaEBR)ebr10173573(OCoLC)957700694(FR-PaCSA)88841811(FRCYB88841811)88841811(EXLCZ)9911103589847940420000707d2001 uy 0engurzn||||||txtccrBond pricing and portfolio analysis protecting investors in the long run /Olivier de la Grandville1st ed.Cambridge, Mass. MIT Press2001xvii, 455 p. illTitle from title screen.9780262041850 0262041855 Includes bibliographical references (p. 441-446) and index.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 -- 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.BondsPricesInterest ratesInvestment analysisPortfolio managementBondsPrices.Interest rates.Investment analysis.Portfolio management.332.63/23La Grandville Olivier de295630MiAaPQMiAaPQMiAaPQBOOK9910974891503321Bond pricing and portfolio analysis717607UNINA