This 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.
CONTENTS
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: De®nition, 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: De®nition, 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 Its 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
Answers to Questions
Further Reading
References
Index
CONTENTS
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: De®nition, 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: De®nition, 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 Its 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
Answers to Questions
Further Reading
References
Index
Páginas : 473
Peso : 3mb.
Formato : PDF.
Edición : Primera
Año de Publicación :2003
ISBN : 978-0262541459
Editorial : The MIT
Autor: Olivier de de La Grandville
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