Duration,Convexity,and Other Bond Risk Measures / Edition 1 available in Hardcover
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Duration,Convexity,and Other Bond Risk Measures based on 0 ratings. 2 reviews.
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.
Superbly written, and great quant.