Duration, Convexity, and Other Bond Risk MeasuresISBN: 978-1-883249-63-2
Hardcover
264 pages
May 1999
 This is a Print-on-Demand title. It will be printed specifically to fill your order. Please allow an additional 10-15 days delivery time. The book is not returnable.
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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.
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.
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