THE HEATH–JARROW–MORTON DURATION AND CONVEXITY: A GENERALIZED APPROACH
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Publication:3022073
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Cites work
- A new class of duration measures
- A theory of the term structure of interest rates
- An equilibrium characterization of the term structure
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- Delta, gamma and bucket hedging of interest rate derivatives
- Pricing interest-rate-derivative securities
- WHEN IS THE SHORT RATE MARKOVIAN?
Cited in
(11)- Constant maturity treasury convexity correction
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- Unifying Gaussian dynamic term structure models from a Heath-Jarrow-Morton perspective
- Macaulay durations for nonparallel shifts
- On the efficient utilisation of duration
- Beyond convexity
- Analysis of duration and convexity of coupon obligation
- A new class of duration measures
- Convexity theory for the term structure equation
- Stochastic duration and fast coupon bond option pricing in multi-factor models
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