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

DOI10.1287/MNSC.43.5.586zbMath0890.90008OpenAlexW2076723512MaRDI QIDQ4356637

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

zbMATH Keywords

term structuredurationportfolio managementdirectional derivativedirection Xfixed interest

Mathematics Subject Classification ID

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