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  • Search: subject:"Nonparallel shift-curve"
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Duration 1 Nonparallel shift-curve 1 Risk hedging strategy 1 Value at risk 1
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Gong, Pu 1 He, Xubiao 1
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Physica A: Statistical Mechanics and its Applications 1
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A risk hedging strategy under the nonparallel-shift yield curve
Gong, Pu; He, Xubiao - In: Physica A: Statistical Mechanics and its Applications 354 (2005) C, pp. 450-462
Under the assumption of the movement of rigid, a nonparallel-shift model in the term structure of interest rates is developed by introducing Fisher & Weil duration which is a well-known concept in the area of interest risk management. This paper has studied the hedge and replication for...
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