THE HEATH–JARROW–MORTON DURATION AND CONVEXITY: A GENERALIZED APPROACH

DOI10.1142/S0219024902001687zbMATH Open1107.91364OpenAlexW3123457743MaRDI QIDQ3022073FDOQ3022073

Manfred Frühwirth

Publication date: 22 June 2005

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024902001687

zbMATH Keywords

risk managementterm structure of interest ratesstochastic convexitystochastic durationHeath--Jarrow--Morton model

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Cites Work

• A theory of the term structure of interest rates
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• An equilibrium characterization of the term structure
• Pricing Interest-Rate-Derivative Securities
• Delta, gamma and bucket hedging of interest rate derivatives
• WHEN IS THE SHORT RATE MARKOVIAN?
• A new class of duration measures

Cited In (4)

• Generalized stochastic duration in Markovian Heath-Jarrow-Morton framework
• Unifying Gaussian dynamic term structure models from a Heath-Jarrow-Morton perspective
• A new class of duration measures
• Convexity theory for the term structure equation

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