Bond Portfolio Management, Swap Strategy, Duration, and Convexity

DOI10.1142/9789811202391_0088zbMATH Open1454.91225OpenAlexW3080170497MaRDI QIDQ5139518

Cheng-Few Lee

Publication date: 9 December 2020

Published in: Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/9789811202391_0088

zbMATH Keywords

durationswappingmaturitybond strategiesinterest-rate anticipation swapintermarket-spread swappure-yield-pickup swapsubstitution swap

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

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