Publications

Duration, Convexity, and Other Bond Risk Measures

Type
Link
Cost
Paid
Published
1999

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

  1. Overview

  2. The Reasons Why a Bond's Price Changes

  3. Price Volatility Characteristics of Bonds

  4. The Basics of Duration and Convexity

  5. Duration Measures of Bonds with Embedded Options and Foreign Bonds

  6. Duration and Convexity for Mortgage-Backed Securities

  7. Yield Curve Risk Measures

  8. Risk Measures for Interest Rate Derivatives

  9. Other Risk Measures

  10. Measuring Yield Volatility

Index