Bond Pricing and Portfolio Analysis Protecting Investors in the Long Run
- List Price: $95.00
- Binding: Hardcover
- Publisher: Mit Pr
- Publish date: 11/01/2000
One of the book's most valuable contributions is its detailed demonstration of the Health-Jarrow-Morton model of interest term structure and its applications to bond portfolio duration and immunization. Other innovative treatments include a discussion of the exact relationship between spot and forward rates of return, formulas for the expected value and variance of the long-term rate of return on bonds as functions of one-year estimates, the introduction of a new concept of duration based on the directional derivative, and a geometrical interpretation of a martingale probability construction.
Each chapter is followed by a series of questions, problem sets, and projects. Detailed answers to all of them are provided at the end of the book. Although the treatment is thorough and rigorous, the exposition is intuitive throughout.
Seller | Condition | Comments | Price |
Ergodebooks
|
Good |
$26.38
|