THE HEATH–JARROW–MORTON DURATION AND CONVEXITY: A GENERALIZED APPROACH
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Publication:3022073
DOI10.1142/S0219024902001687zbMATH Open1107.91364OpenAlexW3123457743MaRDI QIDQ3022073FDOQ3022073
Authors: 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
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risk managementterm structure of interest ratesstochastic convexitystochastic durationHeath--Jarrow--Morton model
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 (7)
- Generalized stochastic duration in Markovian Heath-Jarrow-Morton framework
- Generalized duration measures in a risk immunization setting. Implementation of the Heath–Jarrow–Morton model
- Unifying Gaussian dynamic term structure models from a Heath-Jarrow-Morton perspective
- Macaulay durations for nonparallel shifts
- Analysis of duration and convexity of coupon obligation
- A new class of duration measures
- Convexity theory for the term structure equation
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