Bond pricing and portfolio analysis : protecting investors in the long run / / Olivier de la Grandville
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| Autore: |
La Grandville Olivier de
|
| Titolo: |
Bond pricing and portfolio analysis : protecting investors in the long run / / Olivier de la Grandville
|
| Pubblicazione: | Cambridge, Mass., : MIT Press, 2001 |
| Edizione: | 1st ed. |
| Descrizione fisica: | xvii, 455 p. : ill |
| Disciplina: | 332.63/23 |
| Soggetto topico: | Bonds - Prices |
| Interest rates | |
| Investment analysis | |
| Portfolio management | |
| Note generali: | Title from title screen. |
| Nota di bibliografia: | Includes bibliographical references (p. 441-446) and index. |
| Nota di contenuto: | 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. |
| Titolo autorizzato: | Bond pricing and portfolio analysis |
| ISBN: | 1-282-09722-9 |
| 9786612097225 | |
| 0-262-27424-8 | |
| 1-4237-4679-1 | |
| Formato: | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione: | Inglese |
| Record Nr.: | 9910822932603321 |
| Lo trovi qui: | Univ. Federico II |
| Opac: | Controlla la disponibilità qui |