Duration,Convexity,and Other Bond Risk Measures

Overview

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 ...

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Overview

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.

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Product Details

  • ISBN-13: 9781883249632
  • Publisher: Wiley
  • Publication date: 5/30/1999
  • Series: Frank J. Fabozzi Series , #58
  • Edition number: 1
  • Pages: 258
  • Product dimensions: 6.14 (w) x 9.21 (h) x 0.69 (d)

Meet the Author

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.

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Table of Contents

1. Overview.

2. The Reasons Why a Bond's Price Changes.

3. Price Volatility Characteristics of Bonds.

4. The Basics of Duration and Convexity.

5. Duration Measures of Bonds with Embedded Options and Foreign Bonds.

6. Duration and Convexity for Mortgage-Backed Securities.

7. Yield Curve Risk Measures.

8. Risk Measures for Interest Rate Derivatives.

9. Other Risk Measures.

10. Measuring Yield Volatility.

Index.

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Sort by: Showing all of 2 Customer Reviews
  • Anonymous

    Posted January 7, 2007

    Great introduction for someone looking to get solid start on duration/convexity

    I used this book to prepare for interviews where questions on duration and convexity are very common. This book goes very deep into the two concepts for numerous products (option free bonds, callable/putable bonds, floaters, inverse floaters, MBS, futures,forwards, IRS, and even touches on options). This book cleared up a lot of the mess that comes about when learning duration/convexity for the first time.

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  • Anonymous

    Posted August 26, 2005

    This book is the greatest!

    Superbly written, and great quant.

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