Bond pricing and portfolio analysis: protecting investors in the long run
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Cambridge [u.a.]
MIT Press
2001
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XVII, 455 S. graph. Darst. |
| ISBN: | 0262041855 |
Internformat
MARC
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| 100 | 1 | |a La Grandville, Olivier de |e Verfasser |0 (DE-588)131896784 |4 aut | |
| 245 | 1 | 0 | |a Bond pricing and portfolio analysis |b protecting investors in the long run |c Olivier de La Grandville |
| 264 | 1 | |a Cambridge [u.a.] |b MIT Press |c 2001 | |
| 300 | |a XVII, 455 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 650 | 7 | |a Gestion de portefeuille |2 ram | |
| 650 | 7 | |a Investeringen |2 gtt | |
| 650 | 7 | |a Obligaties |2 gtt | |
| 650 | 7 | |a Obligations (finances) |2 ram | |
| 650 | 7 | |a Portfolio-analyse |2 gtt | |
| 650 | 7 | |a Rente |2 gtt | |
| 650 | 7 | |a Taux d'intérêt |2 ram | |
| 650 | 4 | |a Bonds -- Prices | |
| 650 | 4 | |a Interest rates | |
| 650 | 4 | |a Investment analysis | |
| 650 | 4 | |a Portfolio management | |
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Datensatz im Suchindex
| _version_ | 1804128335990620161 |
|---|---|
| adam_text | CONTENTS
Introduction ix
1 A First Visit to Interest Rates and Bonds 1
2 An Arbitrage Enforced Valuation of Bonds 25
3 The Various Concepts of Rates of Return on Bonds: Yield to
Maturity and Horizon Rate of Return 59
4 Duration: Definition, Main Properties, and Uses 71
5 Duration at Work: The Relative Bias in the T Bond Futures
Conversion Factor 95
6 Immunization: A First Approach 143
7 Convexity: Definition, Main Properties, and Uses 153
8 The Importance of Convexity in Bond Management 171
9 The Yield Curve and the Term Structure of Interest Rates 183
10 Immunizing Bond Portfolios Against Parallel Moves of the
Spot Rate Structure 209
11 Continuous Spot and Forward Rates of Return, with Two
Important Applications 221
12 Two Important Applications 237
13 Estimating the Long Term Expected Rate of Return, Its
Variance, and Its Probability Distribution 267
14 Introducing the Concept of Directional Duration 295
15 A General Immunization Theorem, and Applications 307
16 Arbitrage Pricing in Discrete and Continuous Time 327
17 The Heath Jarrow Morton Model of Forward Interest
Rates, Bond Prices, and Derivatives 359
18 The Heath Jarrow Morton Model at Work: Applications to
Bond Immunization 383
By Way of Conclusion: Some Further Steps 405
Answers to Questions 4 [ ]
Further Reading 437
References 44 j
Index 447
|
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| author | La Grandville, Olivier de |
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| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
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| dewey-search | 332.63/23 21 332.63/23 |
| dewey-sort | 3332.63 223 221 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Book |
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| indexdate | 2024-07-09T18:47:37Z |
| institution | BVB |
| isbn | 0262041855 |
| language | English |
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| spelling | La Grandville, Olivier de Verfasser (DE-588)131896784 aut Bond pricing and portfolio analysis protecting investors in the long run Olivier de La Grandville Cambridge [u.a.] MIT Press 2001 XVII, 455 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Gestion de portefeuille ram Investeringen gtt Obligaties gtt Obligations (finances) ram Portfolio-analyse gtt Rente gtt Taux d'intérêt ram Bonds -- Prices Interest rates Investment analysis Portfolio management Derivat Wertpapier (DE-588)4381572-8 gnd rswk-swf Portfoliomanagement (DE-588)4115601-8 gnd rswk-swf Portfoliomanagement (DE-588)4115601-8 s DE-604 Derivat Wertpapier (DE-588)4381572-8 s HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009244426&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | La Grandville, Olivier de Bond pricing and portfolio analysis protecting investors in the long run Gestion de portefeuille ram Investeringen gtt Obligaties gtt Obligations (finances) ram Portfolio-analyse gtt Rente gtt Taux d'intérêt ram Bonds -- Prices Interest rates Investment analysis Portfolio management Derivat Wertpapier (DE-588)4381572-8 gnd Portfoliomanagement (DE-588)4115601-8 gnd |
| subject_GND | (DE-588)4381572-8 (DE-588)4115601-8 |
| title | Bond pricing and portfolio analysis protecting investors in the long run |
| title_auth | Bond pricing and portfolio analysis protecting investors in the long run |
| title_exact_search | Bond pricing and portfolio analysis protecting investors in the long run |
| title_full | Bond pricing and portfolio analysis protecting investors in the long run Olivier de La Grandville |
| title_fullStr | Bond pricing and portfolio analysis protecting investors in the long run Olivier de La Grandville |
| title_full_unstemmed | Bond pricing and portfolio analysis protecting investors in the long run Olivier de La Grandville |
| title_short | Bond pricing and portfolio analysis |
| title_sort | bond pricing and portfolio analysis protecting investors in the long run |
| title_sub | protecting investors in the long run |
| topic | Gestion de portefeuille ram Investeringen gtt Obligaties gtt Obligations (finances) ram Portfolio-analyse gtt Rente gtt Taux d'intérêt ram Bonds -- Prices Interest rates Investment analysis Portfolio management Derivat Wertpapier (DE-588)4381572-8 gnd Portfoliomanagement (DE-588)4115601-8 gnd |
| topic_facet | Gestion de portefeuille Investeringen Obligaties Obligations (finances) Portfolio-analyse Rente Taux d'intérêt Bonds -- Prices Interest rates Investment analysis Portfolio management Derivat Wertpapier Portfoliomanagement |
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