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< BACK Bond Pricing and Portfolio Analysis Protecting Investors in the Long Run Olivier de La Grandville Table of ContentsIntroduction1 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: Definition, 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: Definition, 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: Application to Bond Immunization By Way of Conclusion: Some Further Steps Answers to Questions Further Reading References Index |
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