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Bond pricing and portfolio analysis [[electronic resource] ] : protecting investors in the long run / / Olivier de la Grandville
| Bond pricing and portfolio analysis [[electronic resource] ] : protecting investors in the long run / / Olivier de la Grandville |
| Autore | La Grandville Olivier de |
| Pubbl/distr/stampa | Cambridge, Mass., : MIT Press, 2001 |
| Descrizione fisica | xvii, 455 p. : ill |
| Disciplina | 332.63/23 |
| Soggetto topico |
Bonds - Prices
Interest rates Investment analysis Portfolio management |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-282-09722-9
9786612097225 0-262-27424-8 1-4237-4679-1 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910455193303321 |
La Grandville Olivier de
|
||
| Cambridge, Mass., : MIT Press, 2001 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Bond pricing and portfolio analysis [[electronic resource] ] : protecting investors in the long run / / Olivier de la Grandville
| Bond pricing and portfolio analysis [[electronic resource] ] : protecting investors in the long run / / Olivier de la Grandville |
| Autore | La Grandville Olivier de |
| Pubbl/distr/stampa | Cambridge, Mass., : MIT Press, 2001 |
| Descrizione fisica | xvii, 455 p. : ill |
| Disciplina | 332.63/23 |
| Soggetto topico |
Bonds - Prices
Interest rates Investment analysis Portfolio management |
| ISBN |
1-282-09722-9
9786612097225 0-262-27424-8 1-4237-4679-1 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910778841103321 |
|
La Grandville Olivier de
|
||
| Cambridge, Mass., : MIT Press, 2001 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Bond pricing and portfolio analysis : protecting investors in the long run / / Olivier de la Grandville
| Bond pricing and portfolio analysis : protecting investors in the long run / / Olivier de la Grandville |
| Autore | La Grandville Olivier de |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Cambridge, Mass., : MIT Press, 2001 |
| Descrizione fisica | xvii, 455 p. : ill |
| Disciplina | 332.63/23 |
| Soggetto topico |
Bonds - Prices
Interest rates Investment analysis Portfolio management |
| ISBN |
1-282-09722-9
9786612097225 0-262-27424-8 1-4237-4679-1 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| 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. |
| Record Nr. | UNINA-9910822932603321 |
|
La Grandville Olivier de
|
||
| Cambridge, Mass., : MIT Press, 2001 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||