bearing instruments and give a new interpretation for the convexity when this linear model for the term structure is used. …

bearing instruments and give a new interpretation for the convexity when this linear model for the term structure is used. …

exhibit negative convexity at low yields and cannot be adequately immunized through duration and convexity-matching alone. To …

research answers the question whether it is possible to successfully use a convexity arbitrage strategy in a bond portfolio in … financial practice. It should provide a positive expected excess return and a small or zero potential loss. Convexity arbitrage … the same Macaulay Duration and price, but a different convexity at a certain yield to maturity point (YTM point). As the …

research answers the question whether it is possible to successfully use a convexity arbitrage strategy in a bond portfolio in … financial practice. It should provide a positive expected excess return and a small or zero potential loss. Convexity arbitrage … the same Macaulay Duration and price, but a different convexity at a certain yield to maturity point (YTM point). As the …