Duration, Convexity, and Other Bond Risk Measures,9781883249632

Duration, Convexity, and Other Bond Risk Measures

by
Edition: 1st
ISBN13: 9781883249632
ISBN10: 1883249635
Format: Hardcover
Pub. Date: 1999-05-15
Publisher(s): Wiley
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Summary

Duration, Convexity and other Bond Risk Measures offers the most comprehensive coverage of bond risk measures available. Financial expert Frank Fabozzi walks you through every aspect of bond risk measures from the price volatility characteristics of option-free bonds and bonds with embedded options to the proper method for calculating duration and convexity. Whether you?re a novice trader or experienced money manager, if you need to understand the interest rate risk of a portfolio Duration, Convexity and other Bond Risk Measures is the only book you?ll need.

Author Biography

Frank J. Fabozzi is a financial consultant, the editor of the Journal of Portfolio Management, and an Adjunct Professor of Finance at Yale University's School of Management.

Table of Contents

1. Overview
1(16)
2. The Reasons Why a Bond's Price Changes
17(20)
3. Price Volatility Characteristics of Bonds
37(16)
4. The Basics of Duration and Convexity
53(32)
5. Duration Measures for Bonds with Embedded Options and Foreign Bonds
85(32)
6. Duration and Convexity for Mortgage-Backed Securities
117(28)
7. Yield Curve Risk Measures
145(26)
8. Risk Measures for Interest Rate Derivatives
171(32)
9. Other Risk Measures
203(30)
10. Measuring Yield Volatility
233(18)
Index 251

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