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Bond Math: The Theory Behind the Formulas, + Website, 2nd Edition by Donald J. Smith

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Bibliographic Notes

I have used Frank J. Fabozzi’s textbook, Bond Markets, Analysis, and Strategies, in my Boston University money and capital markets and fixed-income analysis courses since the first edition back in the 1980s. It is now in the eighth edition (Pearson Prentice-Hall, 2013). So, in wanting to cite properly sources for the ideas in this book, I encounter the problem of not always remembering what I got from Fabozzi and what I thought up on my own.

For instance, I know for sure that I first saw the approximation formulas for modified duration and convexity in the Fabozzi book. On the other hand, he makes a point of not focusing on duration as a measure of time. I agree wholeheartedly but recall that I talked about duration as ...

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