Customer Reviews

Duration, Convexity, and Other Bond Risk Measures (Frank J. Fabozzi Series)

5 star:		(3)
4 star:		(1)
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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

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.

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.

This a good basic introduction. Also try Interest Rate Risk Modeling: A Fixed Income Valuation Course by Nawalkha et. al, and the website www.fixedincomerisk.com with a free forum and free software download.