Generalising Interest Rate Duration with Directional Derivatives: Direction X and Applications

DOI10.1287/MNSC.43.5.586MaRDI QIDQ4356637zbMATH OpenOpenAlexFDO

Authors Roger J. Bowden

Publication date 22 June 1998

Published in Management Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/mnsc.43.5.586

zbMATH Keywords

direction Xdirectional derivativedurationfixed interestportfolio managementterm structure

Mathematics Subject Classification ID

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Cited in

(6)

• On the efficient utilisation of duration
• Macaulay durations for nonparallel shifts
• Some improvements in calculation and use of bond duration
• On the Relative Importance of Duration Constraints
• Sensitivity with respect to the yield curve: duration in a stochastic setting
• Hedging interest rate risk by optimization in Banach spaces

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