"Protecting investors in the long run" in the title reflects the author's interest in the concept of immunization - an instructive discussion, but not something special, even if MIT Press disagrees. If you grasp this material quickly enough, and opt to consult other books on derivatives math, you may find little reason to keep this one; Martellini et al. would be a good book to review before deciding.
Author(s): Olivier de La Grandville
Edition: 1st
Publisher: The MIT Press
Year: 2000
Language: English
Pages: 473
INTRODUCTION......Page 10
1 A FIRST VISIT TO INTEREST RATES AND BONDS......Page 19
2 AN ARBITRAGE-ENFORCED VALUATION OF BONDS......Page 43
3 THE VARIOUS CONCEPTS OF RATES OF RETURN ON BONDS: YIELD TO MATURITY AND HORIZON RATE OF RETURN......Page 77
4 DURATION: DEFINITION, MAIN PROPERTIES, AND USES......Page 89
5 DURATION AT WORK: THE RELATIVE BIAS IN THE T-BOND FUTURES CONVERSION FACTOR......Page 113
6 IMMUNIZATION: A FIRST APPROACH......Page 161
7 CONVEXITY: DEFINITION, MAIN PROPERTIES, AND USES......Page 171
8 THE IMPORTANCE OF CONVEXITY IN BOND MANAGEMENT......Page 189
9 THE YIELD CURVE AND THE TERM STRUCTURE OF INTEREST RATES......Page 201
10 IMMUNIZING BOND PORTFOLIOS AGAINST PARALLEL MOVES OF THE SPOT RATE STRUCTURE......Page 227
11 CONTINUOUS SPOT AND FORWARD RATES OF RETURN, WITH TWO IMPORTANT APPLICATIONS......Page 239
12 TWO IMPORTANT APPLICATIONS......Page 255
13 ESTIMATING THE LONG-TERM EXPECTED RATE OF RETURN, ITS VARIANCE, AND PROBABILITY DISTRIBUTION......Page 285
14 INTRODUCING THE CONCEPT OF DIRECTIONAL DURATION......Page 313
15 A GENERAL IMMUNIZATION THEOREM, AND APPLICATIONS......Page 325
16 ARBITRAGE PRICING IN DISCRETE AND CONTINUOUS TIME......Page 345
17 THE HEATH-JARROW-MORTON MODEL OF FORWARD INTEREST RATES, BOND PRICES, AND DERIVATIVES......Page 377
18 THE HEATH-JARROW-MORTON MODEL AT WORK: APPLICATIONS TO BOND IMMUNIZATION......Page 401
BY WAY OF CONCLUSION: SOME FURTHER STEPS......Page 423
ANSWERS TO QUESTIONS......Page 429
FURTHER READING......Page 455
REFERENCES......Page 459
INDEX......Page 465
