Duration, factor sensitivities, and interest rate Greeks (Q665789)

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Duration, factor sensitivities, and interest rate Greeks
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    title
    Duration, factor sensitivities, and interest rate Greeks (English)
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    author
    Oh Kang Kwon
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    publication date
    6 March 2012
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    Mathematics Subject Classification ID
    91G30
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    91B30
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    91G20
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    62P05
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    zbMATH DE Number
    6012379
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    zbMATH Keywords
    interest rate risk
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    duration
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    stochastic duration
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    factor sensitivities
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