This book analyses and discusses bonds and bond portfolios. Different yields and duration measures are investigated …. The transition from a single bond to a bond portfolio leads to the equation for the internal rate of return. Its solution … scenarios on a model bond portfolio is illustrated. Market and credit risk are introduced as independent sources of risk …

A major theme of this book is the development of a consistent unified model framework for the evaluation of bond … options. In general options on zero bonds (e.g. caps) and options on coupon bearing bonds (e.g. swaptions) are linked by no-arbitrage … between the bond price dynamics and the subordinated stochastic volatility process, whereas Random Field models allow for a …

The book analyzes how modern portfolio theory and dynamic term structure models can be applied to government bond …The book analyzes how modern portfolio theory and dynamic term structure models can be applied to government bond …-period and continuous-time bond portfolio optimization problems are considered. …

die zur Verfügung stehenden Instrumente der Performanceanalyse von Anleihe- und Aktienportfolios. Diese verknüpft er mit … einem Risikobegriff auf Basis eines No-Arbitrage-Ansatzes, um mit dem entwickelten Modell eine risikoadjustierte …

practitioners interested in the theory behind fixed income instruments, and in their applications in financial portfolio management …