Duration, factor sensitivities, and interest rate Greeks

DOI10.1007/S10436-006-0055-XzbMath1233.91293OpenAlexW2095085227MaRDI QIDQ665789

Oh Kang Kwon

Publication date: 6 March 2012

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10436-006-0055-x

zbMATH Keywords

interest rate riskdurationstochastic durationfactor sensitivities

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Stochastic duration and fast coupon bond option pricing in multi-factor models
• Manifolds, tensor analysis, and applications.
• On the Existence of Finite‐Dimensional Realizations for Nonlinear Forward Rate Models
• A Theory of the Term Structure of Interest Rates
• On the geometry of the term structure of interest rates
• VOLATILITY STRUCTURES OF FORWARD RATES AND THE DYNAMICS OF THE TERM STRUCTURE
• Consistency problems for Heath-Jarrow-Morton interest rate models
• Stochastic Equations in Infinite Dimensions

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