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Title: Duration, Convexity, and Other Bond Risk Measures by Frank J. Fabozzi ISBN: 1-883249-63-5 Publisher: John Wiley & Sons Pub. Date: May, 1999 Format: Hardcover Volumes: 1 List Price(USD): $69.95 |
Average Customer Rating: 4.33 (3 reviews)
Rating: 3
Summary: 5 stars for Stanley Diller. Zero stars for Fabozzi.
Comment: 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
Summary: Frank's best short story
Comment: 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
Summary: Comprehensive review of fundamental concepts.
Comment: 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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Title: The Handbook of Fixed Income Securities, 6th Edition by Frank J. Fabozzi ISBN: 0071358056 Publisher: McGraw-Hill Trade Pub. Date: 24 August, 2000 List Price(USD): $99.95 |
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Title: Fixed Income Mathematics by Frank J. Fabozzi ISBN: 0786311215 Publisher: McGraw-Hill Trade Pub. Date: 01 August, 1996 List Price(USD): $62.64 |
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Title: Handbook of Mortgage Backed Securities by Frank J. Fabozzi ISBN: 007135946X Publisher: McGraw-Hill Trade Pub. Date: 23 April, 2001 List Price(USD): $95.00 |
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Title: Fixed Income Securities: Tools for Today's Markets, Second Edition by Bruce Tuckman ISBN: 0471063177 Publisher: John Wiley & Sons Pub. Date: 16 August, 2002 List Price(USD): $69.95 |
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Title: Bond Markets: Analysis and Strategies (4th Edition) by Frank J. Fabozzi ISBN: 0130402664 Publisher: Prentice Hall Pub. Date: 06 August, 1999 List Price(USD): $120.00 |
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