Nawalkha, Sanjay K.; Lacey, Nelson - 2021
This paper derives formulas for higher order duration measures, including D(1) (i.e. Macaulay duration), D(2) (i ….e., slope duration), D(3) (curvature duration), etc. We develop a general iterative method to obtain formulas for any higher … order measure D(m), for an arbitrary positive integer value for m. The higher order duration measures can be used to hedge …