Bond Pricing and Portfolio Analysis: Protecting Investors in the Long Run | 
 enlarge | Author: Olivier De La Grandville
Publisher: The MIT Press
Category: Book
List Price: $42.00
Buy New: $29.00
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Rating:  1 reviews
Sales Rank: 629522
Media: Paperback
Pages: 473
Number Of Items: 1
Shipping Weight (lbs): 1.7
Dimensions (in): 8.6 x 6.5 x 1
ISBN: 0262541459
Dewey Decimal Number: 332
EAN: 9780262541459
ASIN: 0262541459
Publication Date: March 1, 2003
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Product Description
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.
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| Customer Reviews:
Optional reading November 8, 2008
Dimitri Shvorob (Nashville, Tennessee)
A former sciences student might really enjoy this book. It covers the obligatory fixed-income basics more thoughtfully than others, and ramps up the technical level - giving the reader the opportunity to jump off - to the one of Baxter and Rennie. "Protecting investors in the long run" in the title reflects the author's interest in the concept of immunization - an instructive discussion, but not something special, as MIT Press would like you to believe. If you grasp this material quickly enough, and opt to consult other books on derivatives math, you may find little reason to keep this paperback. Martellini et al. would be a good book to review before making that decision.
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