Duration, factor sensitivities, and interest rate Greeks

DOI10.1007/s10436-006-0055-xzbMath1233.91293OpenAlexW2095085227MaRDI QIDQ665789

Oh Kang Kwon

Publication date: 6 March 2012

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10436-006-0055-x

zbMATH Keywords

interest rate riskdurationstochastic durationfactor sensitivities

Mathematics Subject Classification ID

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Stochastic duration and fast coupon bond option pricing in multi-factor models
• Manifolds, tensor analysis, and applications.
• On the Existence of Finite‐Dimensional Realizations for Nonlinear Forward Rate Models
• A Theory of the Term Structure of Interest Rates
• On the geometry of the term structure of interest rates
• VOLATILITY STRUCTURES OF FORWARD RATES AND THE DYNAMICS OF THE TERM STRUCTURE
• Consistency problems for Heath-Jarrow-Morton interest rate models
• Stochastic Equations in Infinite Dimensions

This page was built for publication: Duration, factor sensitivities, and interest rate Greeks