Beyond convexity

DOI10.1080/14697688.2021.1911149MaRDI QIDQ5014240zbMATH OpenOpenAlexFDO

Authors Jessica James, Michael Leister, Christoph Rieger

Publication date 1 December 2021

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2021.1911149

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

• The value of convexity: a theoretical and empirical investigation
• The value of convexity: a theoretical and empirical investigation
• Convexity theory for the term structure equation
• THE HEATH–JARROW–MORTON DURATION AND CONVEXITY: A GENERALIZED APPROACH
• scientific article; zbMATH DE number 6472000

Cited in

(3)

• The value of convexity: a theoretical and empirical investigation
• The value of convexity: a theoretical and empirical investigation
• No return to convexity

This page was built for publication: Beyond convexity

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5014240)