Bond pricing and portfolio analysis : protecting investors in the long run / Olivier de La Grandville
Material type:
TextPublication details: New Delhi : Prentice-Hall of India, 2005Description: xvii, 454p, 23cmISBN: - 8120328884
- 332.6323 LAG
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Calcutta | 332.6323 LAG (Browse shelf(Opens below)) | Available | IIMC-116934 | |||
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Calcutta | 332.6323 LAG (Browse shelf(Opens below)) | Available | IIMC-116935 | |||
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Calcutta | 332.6323 LAG (Browse shelf(Opens below)) | Available | IIMC-116936 | |||
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Calcutta | 332.6323 LAG (Browse shelf(Opens below)) | Available | IIMC-116937 | |||
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| 332.6323 JAM Interest rate derivatives : | 332.6323 JAM Interest rate derivatives : | 332.6323 KEM German bond markets / | 332.6323 LAG Bond pricing and portfolio analysis : | 332.6323 LAG Bond pricing and portfolio analysis : | 332.6323 LAG Bond pricing and portfolio analysis : | 332.6323 LAG Bond pricing and portfolio analysis : |
This book avails 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, it presents a unified framework for understanding the basic tools of bond evaluation, including duration, convexity, and immunization. A special feature of the book 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.
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