Duration, convexity, and other bond risk measures / Frank J. Fabozzi.

By:

Fabozzi, Frank J

Material type: Text

TextPublication details: West Sussex, England : Wiley, 1999.Description: 254 pages : illustrations ; 24 cmISBN:

9781883249632 (hbk.)

Subject(s):

Bond market -- Portfolio management -- Bonds--Prices

DDC classification:

332.632 FAB

Contents:

The Reasons Why a Bond's Price Changes -- Price Volatility Characteristics of Bonds -- The Basics of Duration and Convexity -- Duration Measures for 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.

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Holdings
Item type	Current library	Collection	Call number	Status	Date due	Barcode
Books	H.T. Parekh Library	GSB Collection	332.632 FAB (Browse shelf(Opens below))	Available		B3027

$ 110/-
GST-IN194/04

The Reasons Why a Bond's Price Changes --
Price Volatility Characteristics of Bonds --
The Basics of Duration and Convexity --
Duration Measures for 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.

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