The value of convexity: a theoretical and empirical investigation

DOI10.1080/14697688.2017.1341639zbMath1400.91632OpenAlexW3122962352MaRDI QIDQ4554407

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

convexityasset pricingterm structure modelsinterest ratesaffine modelsinterest rate derivativesinterest rate modelling

Mathematics Subject Classification ID

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

Cites Work

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

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