A new class of duration measures

DOI10.1016/0165-1765(94)00553-EMaRDI QIDQ1352189zbMATH OpenOpenAlexFDO

Authors Kelly T. Au, David C. Thurston

Publication date 27 February 1997

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0165-1765(94)00553-e

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

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Cites work

• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation

Cited in

(3)

• A new model for interdependent durations
• Analysis of duration and convexity of coupon obligation
• THE HEATH–JARROW–MORTON DURATION AND CONVEXITY: A GENERALIZED APPROACH

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