Duration, Convexity, and Other Bond Risk Measures
Duration, Convexity and Other Bond Risk Measures offers the most comprehensive coverage of bond risk measures available. It 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.
Table of contents
Overview
The Reasons Why a Bond's Price Changes
Price Volatility Characteristics of Bonds
The Basics of Duration and Convexity
Duration Measures of Bonds with Embedded Options and Foreign Bonds
Duration and Convexity for Mortgage-Backed Securities
Yield Curve Risk Measures
Risk Measures for Interest Rate Derivatives
Other Risk Measures
Measuring Yield Volatility