Duration, Convexity, and Other Bond Risk Measures (Frank J. Fabozzi Series)

by Frank J. Fabozzi

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Editorial Reviews
Product Description
Duration, Convexity and other Bond Risk Measures offers the most comprehensive coverage of bond risk measures available. Financial expert Frank Fabozzi 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.

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All Customer Reviews
Average Customer Review: 4.5 out of 5 stars

1 of 1 people found the following review helpful:

4 out of 5 stars

Good book, 2005-06-11
This a good basic introduction. Also try Interest Rate Risk Modeling: A Fixed Income Valuation Course by Nawalkha et. al, and the website www.fixedincomerisk.com with a free forum and free software download.

4 of 8 people found the following review helpful:

5 out of 5 stars

Frank's best short story, 2003-10-14
Fabozzi has a lot of intuitive books, but I think this is the best concise book out there that provides a focused discussion on Convexity and Duration. Lucid on all aspects of bond convexity and a very good analysis of option embedded bonds with negative convexity.

10 of 14 people found the following review helpful:

5 out of 5 stars

Comprehensive review of fundamental concepts., 2000-05-25
the book gives the fundamentals of risk management. You can grasp the idea of duration, convexity and other commonly used terms. The book especially tells how you will use the terms, not to derive them. I recommend the book, it is indeed useful

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