THE HEATH–JARROW–MORTON DURATION AND CONVEXITY: A GENERALIZED APPROACH (Q3022073)
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scientific article; zbMATH DE number 2177845
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| English | THE HEATH–JARROW–MORTON DURATION AND CONVEXITY: A GENERALIZED APPROACH |
scientific article; zbMATH DE number 2177845 |
Statements
THE HEATH–JARROW–MORTON DURATION AND CONVEXITY: A GENERALIZED APPROACH (English)
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22 June 2005
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risk management
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term structure of interest rates
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Heath--Jarrow--Morton model
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stochastic duration
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stochastic convexity
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0.8796611428260803
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0.8267661333084106
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0.8229060769081116
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0.8221473097801208
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0.8221473097801208
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