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

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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 …

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An enterprise perspective of performance attribution : introducing the keel model

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Pairwise stable networks in homogeneous societies with weak link externalities

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The impact of dividend policy on price-earnings ratio : the role of conditional and nonlinear relationship

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A new test of convexity–concavity of discount function

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Distortion riskmetrics on general spaces

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The impact of dividend policy on price-to earnings ratio : the case of Western Europe

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positive relationship and convexity between the price-to-earnings ratio and the dividend payout ratio, leading to the …

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