A new class of duration measures

DOI10.1016/0165-1765(94)00553-EzbMath0875.90046OpenAlexW2083129344MaRDI QIDQ1352189

Kelly T. Au, David C. Thurston

Publication date: 27 February 1997

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1765(94)00553-e

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

Related Items (1)

THE HEATH–JARROW–MORTON DURATION AND CONVEXITY: A GENERALIZED APPROACH

Cites Work

• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation

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