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Duration, Convexity, and Time Value
2 references·0 citing·9 second hop
Duration, Convexity, and Time Value (1994)Duration, Convexity, and Time ValueDuration: Its Development and Use in Bond Portfolio Management (1983)Duration: Its Development and…The Pricing of Options on Default-Free Bonds (1982)The Pricing of Options on Def…The Pricing of Options and Corporate Liabilities (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Theory of the Term Structure of Interest Rates (1985)Valuation of American Futures Options: Theory and Empirical Tests (1986)Pricing Interest Rate Options in a Two-Factor Cox–Ingersoll–Ross model of the Term Structure: Table 1 (1992)Is the Short Rate Drift Actually Nonlinear? (2000)Bank Funding Risks, Risk Aversion, and the Choice of Futures Hedging Instrument (1985)BOND PORTFOLIO IMMUNIZATION: TESTS OF MATURITY, ONE‐ AND TWO‐FACTOR DURATION MATCHING STRATEGIES (1987)Regulatory Capture and the Monetary Contraction of 1932: A Comment on Epstein and Ferguson (1991)
this work references cited by second hop

References

  • 1982The Pricing of Options on Default-Free Bonds239 cited
  • 1983Duration: Its Development and Use in Bond Portfolio Management97 cited

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