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An enterprise perspective of performance attribution : introducing the keel model

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Interest rate risk of bond prices on Macedonian Stock Exchange - empirical test of the duration, modified duration and convexity and bonds valuation

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Partial immunization bounds and non-parallel term structure shifts

Poitras, Geoffrey - In: Annals of financial economics 8 (2013) 2, pp. 1-27

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Stochastic durations, the convexity effect, and the impact of interest rate changes

Fonseca, José Soares da - In: The European journal of finance 20 (2014) 10/12, pp. 994-1007

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Yield curve changes effect on Euro area bond indexes : a partial durations approach

Fonseca, José Soares da - In: International journal of monetary economics and finance 7 (2014) 1, pp. 28-39

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The value of convexity : a theoretical and empirical investigation

Rebonato, Riccardo; Putyatin, Vladislav - In: Quantitative finance 18 (2018) 1, pp. 11-30

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On cash settled IRR-swaptions and Markov functional modeling

Bermin, Hans-Peter; Williams, Gareth - In: International journal of theoretical and applied finance 20 (2017) 2, pp. 1-20

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How well does duration measure interest rate risk and does the convexity adjustment matter?

Barber, Joel R. - In: Quarterly journal of finance & accounting : QJFA 59 (2021) 1/2, pp. 1-28

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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

as convexity arbitrage) in financial praxis. This arbitrage is sparsely described in literature and an assessment about … and practically) to have the same Macaulay duration and price, but a different convexity at certain YTM point. Therefore …, being long the first bond while shorting the second (of higher convexity) would result in a market-directional bet for …

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

Bond prices, yield spreads, and optimal capital structure with default risk

Leland, Hayne Ellis - In: Finance : revue de l'Association Française de Finance 40 (2019) 3, pp. 45-75

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