Search Results - subject:"Duration and Convexity"

Memmel, Christoph; Heckmann, Lotta - 2025

Based on an analysis of changes in the yields of German government bonds, we propose a simple model for the term structure of interest rates and show empirically that this model with two parameters (relating to the interest level and slope of the term structure) fits empirically well the data...

Persistent link: https://www.econbiz.de/10015373252

Modeling the term structure

Memmel, Christoph; Heckmann, Lotta - 2025

Persistent link: https://www.econbiz.de/10015373549

Asset and liability management in health insurance

Ilyas, Ashiq Mohd; Rajasekaran, Sanguthevar - In: Journal of advanced studies in finance : JASF 8 (2017) 1/15, pp. 19-29

Persistent link: https://www.econbiz.de/10011779556

Interest Rate Risk of Stock Prices in Nigeria

Udegbunam, Raphael I.; Oaikhenan, Hassan E. - In: Journal of Emerging Market Finance 11 (2012) 1, pp. 93-113

the Duration and Convexity model. A simple non-linear stock price model that incorporates measure of interest rate … duration and convexity and a vector containing a battery of other control variables is specified and estimated using annual … duration and convexity to exert strong but opposite effects on stock prices in Nigeria. The empirical evidence shows that the …

Persistent link: https://www.econbiz.de/10011137881

VALUATION OF CALLABLE BONDS: THE SALOMON BROTHERS APROACH

Rubio, Fernando - EconWPA - 2005

This paper explain, analyze and apply in an example the original paper developed by Kopprasch, Boyce, Koenigsberg, Tatevossian, and Yampol (1987) from The Salomon Brothers Inc. Bond Portfolio Analysis Group. Please, be aware. This paper is for educational issues only. There is a Spanish version...

Persistent link: https://www.econbiz.de/10005413157