Call Boomerang Books 1300 36 33 32

Description - Bond Pricing and Portfolio Analysis by Olivier de la Grandville

This comprehensive text makes accessible the most important methodological advances in bond evaluation of the past 20 years. With uncommon precision and a strong emphasis on the underlying economic fundamentals, de La Grandville presents a unified framework for understanding the basic tools of bond evaluation, including duration, convexity, immunization, and interest rate derivatives. One of the book's most valuable contributions is its detailed demonstration of the Heath-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.

Buy Bond Pricing and Portfolio Analysis by Olivier de la Grandville from Australia's Online Independent Bookstore, Boomerang Books.

Book Details

ISBN: 9780262541459
ISBN-10: 0262541459
Format: Paperback
(229mm x 178mm x 30mm)
Pages: 473
Imprint: MIT Press
Publisher: MIT Press Ltd
Publish Date: 24-Jan-2003
Country of Publication: United States

Other Editions - Bond Pricing and Portfolio Analysis by Olivier de la Grandville

Book Reviews - Bond Pricing and Portfolio Analysis by Olivier de la Grandville

» Have you read this book? We'd like to know what you think about it - write a review about Bond Pricing and Portfolio Analysis book by Olivier de la Grandville and you'll earn 50c in Boomerang Bucks loyalty dollars (you must be a Boomerang Books Account Holder - it's free to sign up and there are great benefits!)

Write Review


Author Biography - Olivier de la Grandville

Olivier de La Grandville is Professor of Economics at the University of Geneva and Visiting Professor in the Department of Management Science and Engineering at Stanford University. He is the author of six books. His work has appeared in such journals as The American Economic Review, Econometrica, and The Financial Analysts Journal.

Books By Olivier de la Grandville

Economic Growth by Olivier de la Grandville
Hardback, December 2016
$234.00