Bond Pricing and Portfolio Analysis: Protecting Investors in the Long Run [Paperback]

Olivier de de La Grandville (Author)

Book Description

Publication Date: January 24, 2003

This text makes accessible the most important methodological advances in bond evaluation from the past twenty years. With uncommon precision and a strong emphasis on the underlying economic fundamentals, Olivier de La Grandville presents a unified framework for understanding the basic tools of bond evaluation, including duration, convexity, and immunization.Among the book's most valuable contributions is a general immunization theorem that can be used by practitioners to protect investors against any change in the structure of spot interest rates. Also of note is the detailed presentation of the Heath-Jarrow-Morton model and a discussion of its relationships with classical immunization schemes. Each chapter is followed by a series of questions, problem sets, and projects; detailed solutions to all of them appear at the end of the book. Although the treatment is thorough and rigorous, the presentation throughout the book is intuitive.

Editorial Reviews

Review

"Bonds are mathematical securities, and Olivier de La Grandville gives us the economics, the theory, the math, the intuition, and the numerical examples in this wonderfully thorough book." Roger Ibbotson, Yale School of Management

About the Author

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.

Julian Savulescu, Ph.D., is Uehiro Chair in Applied Ethics at the University of Oxford and the Director of the Oxford Centre for Applied Ethics. He is Head of the Melbourne-Oxford Stem Cell Collaboration,devoted to examining the ethical implications of cloningand embryonic stem cell research. Dr. Savulescu is Editor of theJournal of Medical Ethics. He has published articles in the British Medical Journal, Lancet, Australasian Journal of Philosophy, Bioethics, The American Journal of Bioethics, and the Medical Journal of Australia.

Product Details

• Paperback: 473 pages
• Publisher: The MIT Press (January 24, 2003)
• Language: English
• ISBN-10: 0262541459
• ISBN-13: 978-0262541459
• Product Dimensions: 8.6 x 6.5 x 1 inches
• Shipping Weight: 1.7 pounds (View shipping rates and policies)
• Average Customer Review: 4.5 out of 5 stars  See all reviews (2 customer reviews)
• Amazon Best Sellers Rank: #358,907 in Books (See Top 100 in Books)

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Customer Reviews

Most Helpful Customer Reviews

1 of 1 people found the following review helpful:

4.0 out of 5 stars Bond experts will like it, November 5, 2011

By 

Finance practitioner (Europe) - See all my reviews

This review is from: Bond Pricing and Portfolio Analysis: Protecting Investors in the Long Run (Paperback)

Interesting read on generalized immunization theorem. When looking for protection against non-parallel shifts of the yield curve you can use Olivier de la Grandville's generalized immunization theorem to increase the convexity of a bond portfolio.

2 of 3 people found the following review helpful:

5.0 out of 5 stars Optional reading, November 8, 2008

By 

Dimitri Shvorob - See all my reviews
(REAL NAME)   

This review is from: Bond Pricing and Portfolio Analysis: Protecting Investors in the Long Run (Paperback)

"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.