Duration, convexity, and other bond risk measures /
Frank J. Fabozzi.
- West Sussex, England : Wiley, 1999.
- 254 pages : illustrations ; 24 cm.
$ 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.