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Hardcover | $20.75 Short | £16.95 | 473 pp. | 7 x 9 in | September 2000 | ISBN: 9780262041850
Paperback | $9.75 X | £8.95 | 473 pp. | 7 x 9 in | January 2003 | ISBN: 9780262541459
eBook | $42.00 Short | January 2003 | ISBN: 9780262251297
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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.


“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.”
Roger Ibbotson, 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