Limited partner at Salomon Brothers who ran its bond market research department as general partner; wrote A History of Interest Rates, later revised with Richard Sylla. Died in 1983.
A History of Interest Rates assembles rate series from Babylonian loans through the twentieth century and is the only long-run record of what money has cost across monetary regimes, which is why every argument about whether current rates are high or low ends up citing it. Inside the Yield Book, with Martin Leibowitz, introduced total-return analysis of bonds and the arithmetic of duration and reinvestment that fixed income desks still use.
2 books of their own
Interest rates from Babylonian lending through Rome and Europe to modern bonds.
Recommended by: Mohnish Pabrai
Bond maths made usable: price and yield, interest on interest, and bond swaps.
A History of Interest Rates | Interest rates from Babylonian lending through Rome and Europe to modern bonds. | 1963 | T1 | Mohnish Pabrai |
Inside the Yield Book | Bond maths made usable: price and yield, interest on interest, and bond swaps. | 1972 | T1 | – |