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

DOI10.1287/MNSC.43.5.586zbMATH Open0890.90008OpenAlexW2076723512MaRDI QIDQ4356637FDOQ4356637

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

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zbMATH Keywords

term structuredurationdirectional derivativeportfolio managementdirection Xfixed interest

Mathematics Subject Classification ID

Cited In (5)

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

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