LEADER 04229nam 22007094a 450 001 9910974891503321 005 20200520144314.0 010 $a9786612097225 010 $a9781282097223 010 $a1282097229 010 $a9780262274241 010 $a0262274248 010 $a9781423746799 010 $a1423746791 035 $a(CKB)111035898479404 035 $a(CtWfDGI)bkb00000038 035 $a(SSID)ssj0000113686 035 $a(PQKBManifestationID)11984544 035 $a(PQKBTitleCode)TC0000113686 035 $a(PQKBWorkID)10100172 035 $a(PQKB)11433445 035 $a(MiAaPQ)EBC3338518 035 $a(Au-PeEL)EBL3338518 035 $a(CaPaEBR)ebr10173573 035 $a(OCoLC)957700694 035 $a(FR-PaCSA)88841811 035 $a(FRCYB88841811)88841811 035 $a(BIP)6450546 035 $a(EXLCZ)99111035898479404 100 $a20000707d2001 uy 0 101 0 $aeng 135 $aurzn|||||| 181 $ctxt 182 $cc 183 $acr 200 10$aBond pricing and portfolio analysis $eprotecting investors in the long run /$fOlivier de la Grandville 205 $a1st ed. 210 $aCambridge, Mass. $cMIT Press$d2001 215 $axvii, 455 p. $cill 300 $aTitle from title screen. 311 08$a9780262041850 311 08$a0262041855 320 $aIncludes bibliographical references (p. 441-446) and index. 327 $aIntro -- 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. 330 $aThis 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. 606 $aBonds$xPrices 606 $aInterest rates 606 $aInvestment analysis 606 $aPortfolio management 615 0$aBonds$xPrices. 615 0$aInterest rates. 615 0$aInvestment analysis. 615 0$aPortfolio management. 676 $a332.63/23 700 $aLa Grandville$b Olivier de$0295630 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910974891503321 996 $aBond pricing and portfolio analysis$9717607 997 $aUNINA