Generalising Interest Rate Duration with Directional Derivatives: Direction X and Applications
Year of publication: |
1997
|
---|---|
Authors: | Bowden, Roger J. |
Published in: |
Management Science. - Institute for Operations Research and the Management Sciences - INFORMS, ISSN 0025-1909. - Vol. 43.1997, 5, p. 586-595
|
Publisher: |
Institute for Operations Research and the Management Sciences - INFORMS |
Subject: | direction X | directional derivative | duration | fixed interest | portfolio management | term structure |
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