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BOND RETURNS, DISCRETE STOCHASTIC PROCESSES, AND DURATION
12 references·0 citing·32 second hop
BOND RETURNS, DISCRETE STOCHASTIC PROCESSES, AND DURATION (1987)BOND RETURNS, DISCRETE STOCHASTIC PROCESS…Coping with the Risk of Interest-Rate Fluctuations: A Note (2017)Coping with the Risk of Inter…Duration Analysis: Managing Interest Rate Risk. (1988)Duration Analysis: Managing I…BOND PORTFOLIO IMMUNIZATION: TESTS OF MATURITY, ONE‐ AND TWO‐FACTOR DURATION MATCHING STRATEGIES (1987)BOND PORTFOLIO IMMUNIZATION: …Innovations in bond portfolio management : duration analysis and immunization (1983)Innovations in bond portfolio…Duration: Its Development and Use in Bond Portfolio Management (1983)Duration: Its Development and…The art of risk management in bond portfolios (1981)The art of risk management in…Duration and the Measurement of Basis Risk (1979)Duration and the Measurement …Bond Immunization When Short-Term Interest Rates Fluctuate More than Long-Term Rates (1979)Bond Immunization When Short-…A continuous time approach to the pricing of bonds (1979)A continuous time approach to…Duration Forty Years Later (1978)Duration Forty Years LaterImmunization, Duration, and the Term Structure of Interest Rates (1977)Immunization, Duration, and t…Coping with the Risk of Interest-Rate Fluctuations: Returns to Bondholders from Naive and Optimal Strategies (1971)Coping with the Risk of Inter…Value and Capital (1939)The Desirability of Price Instability Under Perfect Competition (1961)Asset Values, Interest-Rate Changes, and Duration (1977)A Risk Minimizing Strategy for Portfolio Immunization (1984)Coping with the Risk of Interest-Rate Fluctuations: Returns to Bondholders From Naïve and Optimal Strategies* (2017)A Multivariate Model of the Term Structure (1980)A Theory of the Term Structure of Interest Rates (1985)Theory of rational option pricing (2005)Asymmetric stock market volatility and the cyclical behavior of expected returns (2007)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)The relation between forward prices and futures prices (1981)Stochastic Convenience Yield and the Pricing of Oil Contingent Claims (1990)A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk (1997)Mean-Risk Analysis with Risk Associated with Below-Target Returns (1975)An equilibrium characterization of the term structure (1977)Chapter 13 The term structure of interest rates (1990)Default Risk and the Duration of Zero Coupon Bonds (1990)Dynamic Asset Allocation and Fixed Income Management (1999)Designing an immunized portfolio: Is M-squared the key? (1993)Deposit insurance and bank interest rate risk: Pricing and regulatory implications (1995)Modeling Surrender and Lapse Rates With Economic Variables (2005)Duration and Bond Portfolio Analysis: An Overview (1978)An Immunization Strategy is a Minimax Strategy (1979)The Effects of Securitization on Mortgage Market Yields: A Cointegration Analysis (1998)Immunization Using Principal Component Analysis (1996)Default Risk and the Effective Duration of Bonds (1997)Bank Funding Risks, Risk Aversion, and the Choice of Futures Hedging Instrument (1985)Regulatory Capture and the Monetary Contraction of 1932: A Comment on Epstein and Ferguson (1991)Monetary Policy, Loan Liquidation, and Industrial Conflict: The Federal Reserve and the Open Market Operations of 1932 (1984)The Structure of Spot Rates and Immunization (1990)Immunization using a stochastic-process independent multi-factor model: The Portuguese experience (2005)
this work references cited by second hop

References

  • 1979A continuous time approach to the pricing of bonds796 cited
  • 1971Coping with the Risk of Interest-Rate Fluctuations: Returns to Bondholders from Naive and Optimal Strategies271 cited
  • 1979Duration and the Measurement of Basis Risk225 cited
  • 1978Duration Forty Years Later184 cited
  • 1977Immunization, Duration, and the Term Structure of Interest Rates172 cited
  • 1983Duration: Its Development and Use in Bond Portfolio Management97 cited
  • 1988Duration Analysis: Managing Interest Rate Risk.95 cited
  • 1983Innovations in bond portfolio management : duration analysis and immunization83 cited
  • 1979Bond Immunization When Short-Term Interest Rates Fluctuate More than Long-Term Rates82 cited
  • 2017Coping with the Risk of Interest-Rate Fluctuations: A Note65 cited
  • 1987BOND PORTFOLIO IMMUNIZATION: TESTS OF MATURITY, ONE‐ AND TWO‐FACTOR DURATION MATCHING STRATEGIES40 cited
  • 1981The art of risk management in bond portfolios40 cited

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