Article1987

BOND RETURNS, DISCRETE STOCHASTIC PROCESSES, AND DURATION

28 citations0/0 files storedThe Journal of Financial Research

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

Abstract

Abstract A particular duration measure may correspond to many different stochastic processes that generate fluctuations in the term structure of interest rates. There does not exist a one‐to‐one correspondence between the duration measure and an underlying stochastic process. In particular, durations derived from disequilibrium processes also correspond to equilibrium processes. Furthermore, it is shown that multi‐factor discrete models of bond returns may also correspond to multi‐duration models of bond returns.

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1979A continuous time approach to the pricing of bonds 1971Coping with the Risk of Interest-Rate Fluctuations: Returns to Bondholders from Naive and Optimal Strategies 1979Duration and the Measurement of Basis Risk 1978Duration Forty Years Later 1977Immunization, Duration, and the Term Structure of Interest Rates 1983Duration: Its Development and Use in Bond Portfolio Management 1988Duration Analysis: Managing Interest Rate Risk.1983Innovations in bond portfolio management : duration analysis and immunization

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