- Hardcover: 474 pages
- Publisher: MIT Press (27 Oct 2000)
- Language English
- ISBN-10: 0262041855
- ISBN-13: 978-0262041850
- Product Dimensions: 23.5 x 18.5 x 3.1 cm
- Amazon Bestsellers Rank: 1,731,755 in Books (See Top 100 in Books)
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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
Product Description
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.
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2 of 3 people found the following review helpful
Optional reading
8 Nov 2008
Format: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.
Bond experts will like it
5 Nov 2011
Format: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.
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