Duration, Convexity, and Other Bond Risk Measures
Author: Frank J. Fabozzi
List Price: $69.95
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ISBN: 1883249635
Publisher: John Wiley & Sons (May, 1999)
Sales Rank: 80,868
Average Customer Rating: 4.33 out of 5
Customer Reviews
Rating: 3 out of 5
5 stars for Stanley Diller. Zero stars for Fabozzi.
It's difficult to say this politely, but it seems a lot of this material should be credited to Stanley Diller who published "Parametric Analysis" for distribution to Goldman Sachs clients and then expanded on this work at Bear Stearns, and Paine Webber. Stanley is known as the "Father of Convexity" and the work on bond risk measures he did was brilliant and comprehensive. It seems that if work is going to be so heavily borrowed, credit should be prominently given to the source.
Rating: 5 out of 5
Frank's best short story
Fabozzi has a lot of intuitive books, but I think this is the best concise book out there that give 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.
Rating: 5 out of 5
Comprehensive review of fundamental concepts.
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 Similar Products
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