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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Book Description
Editorial Reviews
From the Back Cover
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.
About 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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Most Helpful Customer Reviews
10 of 12 people found the following review helpful:
5.0 out of 5 stars
Comprehensive review of fundamental concepts.,
By EYUP GULSUN (Turkey) - See all my reviews
This review is from: Duration, Convexity, and Other Bond Risk Measures (Frank J. Fabozzi Series) (Hardcover)
the book gives the fundamentals of risk management. You can grasp the idea of duration, convexity and other commonly used terms. The book especially tells how you will use the terms, not to derive them. I recommend the book, it is indeed useful
2 of 3 people found the following review helpful:
5.0 out of 5 stars
Frank's best short story,
By
Amazon Verified Purchase(What's this?)
This review is from: Duration, Convexity, and Other Bond Risk Measures (Frank J. Fabozzi Series) (Hardcover)
Fabozzi has a lot of intuitive books, but I think this is the best concise book out there that provides a focused discussion on Convexity and Duration. Lucid on all aspects of bond convexity and a very good analysis of option embedded bonds with negative convexity.
5.0 out of 5 stars
Duration & Convexity to the point,
By Piti (Indonesia) - See all my reviews
Amazon Verified Purchase(What's this?)
This review is from: Duration, Convexity, and Other Bond Risk Measures (Frank J. Fabozzi Series) (Hardcover)
I'm new to bond; in fact I use this book for my thesis work specific to bond duration and convexity and it helped me a lot from cringes usually caused by bond mathematical formulas and more importantly, misconception I had earlier about bond duration. The book is clear, concise and easy to understand. For anyone who is interested in bond beyond its yield and price.
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Inside This Book
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First Sentence:
A major risk faced by bond investors is interest rate risk. Read the first page Key Phrases - Statistically Improbable Phrases (SIPs): (learn more)
binomial interest rate tree, current dollar duration, target dollar duration, symmetric around the expected value, forecasting yield volatility, expected interest rate volatility, actual percentage price change, bond futures position, theoretical futures price, approximate percentage price change, coupon curve duration, expected yield volatility, target semivariance, estimated percentage price change, empirical duration, average life floater, dollar convexity measure, dollar price change, designated futures contract, historical yield volatility, required yield changes, price volatility characteristics, next coupon reset date, amortizing security, required yield increases Key Phrases - Capitalized Phrases (CAPs): (learn more)
Monte Carlo, High Yield Index, The Journal of Fixed Income, Fabozzi Associates, New Hope, Lehman Brothers, Ram Willner, Capital Management Sciences, Today Year, Ginnie Mae, New York, Advanced Fixed Income Analytics, Journal of Portfolio Management, Ryan Labs, Sam Choi, Wesley Phoa, Financial Analysts Journal, Inception of Auction, Madison Avenue, Option-Free Bond Price, Total Portfolio, Treasury Interest Rate Volatility, Bullet Barbell Difference, Domestic Portfolios, Douglas Breeden New!
Books on Related Topics | Concordance | Text Stats Browse Sample Pages:
Front Cover | Table of Contents | First Pages | Index | Back Cover | Surprise Me!
A major risk faced by bond investors is interest rate risk. Read the first page Key Phrases - Statistically Improbable Phrases (SIPs): (learn more)
binomial interest rate tree, current dollar duration, target dollar duration, symmetric around the expected value, forecasting yield volatility, expected interest rate volatility, actual percentage price change, bond futures position, theoretical futures price, approximate percentage price change, coupon curve duration, expected yield volatility, target semivariance, estimated percentage price change, empirical duration, average life floater, dollar convexity measure, dollar price change, designated futures contract, historical yield volatility, required yield changes, price volatility characteristics, next coupon reset date, amortizing security, required yield increases Key Phrases - Capitalized Phrases (CAPs): (learn more)
Monte Carlo, High Yield Index, The Journal of Fixed Income, Fabozzi Associates, New Hope, Lehman Brothers, Ram Willner, Capital Management Sciences, Today Year, Ginnie Mae, New York, Advanced Fixed Income Analytics, Journal of Portfolio Management, Ryan Labs, Sam Choi, Wesley Phoa, Financial Analysts Journal, Inception of Auction, Madison Avenue, Option-Free Bond Price, Total Portfolio, Treasury Interest Rate Volatility, Bullet Barbell Difference, Domestic Portfolios, Douglas Breeden New!
Books on Related Topics | Concordance | Text Stats Browse Sample Pages:
Front Cover | Table of Contents | First Pages | Index | Back Cover | Surprise Me!
Citations (learn more)
This book cites 7
books:
See all 7 books this book cites
1
book
cites this book:
- Advances in the Valuation and Management of Mortgage-Backed Securities by Frank J. Fabozzi CFA on page 135, page 229, and page 230
- Perspectives on Interest Rate Risk Management for Money Managers and Traders (Frank J. Fabozzi Series) by Frank J. Fabozzi CFA on page 166, and page 168
- Managing Fixed Income Portfolios (Frank J. Fabozzi Series) by Frank J. Fabozzi CFA on page 151, and page 215
- Advanced Fixed Income Analytics (Frank J. Fabozzi Series) by Wesley Phoa on page 157, and page 164
- Fixed Income Securities by Frank J. Fabozzi CFA on page 21
See all 7 books this book cites
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