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"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
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This comprehensive text makes accessible the most important methodological advances in bond evaluation of the past 20 years. With uncommon precision and a strong emphasis on the underlying economic fundamentals, de La Grandville presents a unified framework for understanding the basic tools of bond evaluation, including duration, convexity, immunization, and interest rate derivatives. One of the book's most valuable contributions is its detailed demonstration of the Heath-Jarrow-Morton model of interest term structure and its applications to bond portfolio duration and immunization. Other innovative treatments include a discussion of the exact relationship between spot and forward rates of return, formulas for the expected value and variance of the long-term rate of return on bonds as functions of one-year estimates, the introduction of a new concept of duration based on the directional derivative, and a geometrical interpretation of a martingale probability construction. Each chapter is followed by a series of questions, problem sets and projects. Detailed answers to all of them are provided at the end of the book. Although the treatment is thorough and rigorous, the exposition is intuitive throughout.
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