Bond Pricing and Portfolio Analysis
Protecting Investors in the Long Run
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.
Hardcover$20.75 S | £16.99 ISBN: 9780262041850 473 pp. | 9 in x 7 in
Paperback$9.75 X | £7.99 ISBN: 9780262541459 473 pp. | 9 in x 7 in
Bonds are mathematical securities, and Olivier de La Grandville gives us the economics, the theory, the math, the intuition, and the numerical examples in this wonderfully thorough book.
Yale School of Management
Nourishing but not heavy. Tasty but not frivolous. Meticulous but not dull. It sounds like an excellent dinner. No, an excellent text on finance. Bon appetit.
Robert M. Solow
Institute Professor of Economics, Emeritus, MIT