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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

Ivanovski, Zoran; Stojanovski, Toni Draganov; … - In: Economic research 26 (2013) 3, pp. 47-62

Persistent link: https://www.econbiz.de/10010196415

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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Asset-Liability-Management von Lebensversicherungsunternehmen : eine Untersuchung unter besonderer Berücksichtigung der Zinssensitivitätsmaße Duration und Konvexität

Rothe, Lars - 1999

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Power law bond price and yield approximation

Barber, Joel R. - In: The journal of risk finance : JRF 23 (2022) 1, pp. 14-31

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Modeling of risk measure bonds using the beta model

Hachicha, Fatma; Hachicha, Ahmed; Masmoudi, Afif - In: Review of Pacific Basin financial markets and policies 24 (2021) 4, pp. 2150033-1-2150033-18

Persistent link: https://www.econbiz.de/10012805199

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

Natural hedges with immunization strategies of mortality and interest rates

Lin, Tzuling; Tsai, Cary Chi-liang - In: ASTIN bulletin : the journal of the International … 50 (2020) 1, pp. 155-185

Persistent link: https://www.econbiz.de/10012194116