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A comparison of Macaulay approximations

Orfanos, Stefanos C. - In: Risks : open access journal 10 (2022) 8, pp. 1-8

We discuss several known formulas that use the Macaulay duration and convexity of commonly used cash flow streams to …

Persistent link: https://www.econbiz.de/10013368293

Interest rates sensitivity arbitrage : theory and practical assesment for financial market trading

Stadnik, Bohumil - In: Business, mangagement and economics engineering : BMEE 19 (2021) 1, pp. 12-23

and practically) to have the same Macaulay duration and price, but a different convexity at certain YTM point. Therefore …

Persistent link: https://www.econbiz.de/10012695328

A better alternative to conventional bond in the context of risk management

Khachatryan, Gor - In: European research studies 22 (2019) 1, pp. 209-220

Persistent link: https://www.econbiz.de/10012285915

Does Macaulay duration provide the most cost-effective immunization method: A theoretical approach

Zaremba, Leszek - In: Foundations of Management 9 (2017) 1, pp. 99-110

In the following, we offer a theoretical approach that attempts to explain (Comments 1-3) why and when the Macaulay … duration concept happens to be a good approximation of a bond's price sensitivity. We are concerned with the basic immunization …

Persistent link: https://www.econbiz.de/10011923149

Does Macaulay duration provide the most cost-effective immunization method : a theoretical approach

Zaremba, Leszek - In: Foundations of Management : the journal of Warsaw … 9 (2017) 1, pp. 99-110

In the following, we offer a theoretical approach that attempts to explain (Comments 1-3) why and when the Macaulay … duration concept happens to be a good approximation of a bond’s price sensitivity. We are concerned with the basic immunization …

Persistent link: https://www.econbiz.de/10011856311

ДЮРАЦИЯ КАК МЕРА ЧУВСТВИТЕЛЬНОСТИ СТОИМОСТИ ФИНАНСОВОГО ИНСТРУМЕНТА К ИЗМЕНЕНИЮ ПРОЦЕНТНОЙ СТАВКИ

СОКОЛОВ Б. И.; СОКОЛОВА Я. Ю. - In: Проблемы современной экономики (2013) 3, pp. 249-253

В статье дан анализ дюрации как меры чувствительности стоимости финансового инструмента к изменению процентной ставки. Сделан вывод о том, что с ростом дюрации...

Persistent link: https://www.econbiz.de/10011247758