The value of convexity: a theoretical and empirical investigation

DOI10.1080/14697688.2017.1341639MaRDI QIDQ4554407zbMATH OpenOpenAlexFDO

Authors Riccardo Rebonato, Vladislav Putyatin

Publication date 14 November 2018

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2017.1341639

zbMATH Keywords

affine modelsasset pricingconvexityinterest rate derivativesinterest rate modellinginterest ratesterm structure models

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cites work

• The nature of the dependence of the magnitude of rate moves on the rates levels: a universal relationship

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(3)

• The value of convexity: a theoretical and empirical investigation
• Beyond convexity
• Research note on quasi-convexity of the yield function and its relation to Drucker's postulate

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