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Risk management with duration analysis
16 references·1 citing·27 second hop
Risk management with duration analysis (2000)Risk management with duration analysisFrom ‘Some Theoretical Problems Suggested by the Movements of Interest Rates, Bond Yield, and Stock Prices in the United States Since 1856’ (2017)From ‘Some Theoretical Proble…Coping with the Risk of Interest-Rate Fluctuations: Returns to Bondholders From Naïve and Optimal Strategies* (2017)Coping with the Risk of Inter…Designing an immunized portfolio: Is M-squared the key? (1993)Designing an immunized portfo…Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Bond Pricing and the Term Str…Pricing Interest-Rate-Derivative Securities (1990)Pricing Interest-Rate-Derivat…Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation (1990)Bond Pricing and the Term Str…A One-Factor Model of Interest Rates and Its Application to Treasury Bond Options (1990)A One-Factor Model of Interes…Duration Analysis: Managing Interest Rate Risk. (1988)Duration Analysis: Managing I…Term Structure Movements and Pricing Interest Rate Contingent Claims (1986)Term Structure Movements and …A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…Duration and the Measurement of Basis Risk (1979)Duration and the Measurement …Duration Forty Years Later (1978)Duration Forty Years LaterAn equilibrium characterization of the term structure (1977)An equilibrium characterizati…Coping with the Risk of Interest-Rate Fluctuations: Returns to Bondholders from Naive and Optimal Strategies (1971)Coping with the Risk of Inter…Review of the Principles of Life-office Valuations (1952)Review of the Principles of L…Value and Capital (1939)Value and CapitalRisk management with a duration gap approach (2020)Risk management with a durati…Theory of Rational Option Pricing (1973)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Theory of rational option pricing (2005)The Pricing of Options and Corporate Liabilities (1973)Forecasting the Term Structure of Government Bond Yields (2003)An Intertemporal Capital Asset Pricing Model (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The valuation of options for alternative stochastic processes (1976)VOLATILITY STRUCTURES OF FORWARD RATES AND THE DYNAMICS OF THE TERM STRUCTURE1 (1995)LIBOR and swap market models and measures (1997)Martingales and stochastic integrals in the theory of continuous trading (1981)Stochastic Differential Equations and Diffusion Processes (1983)Modeling Term Structures of Defaultable Bonds (1999)Optimum consumption and portfolio rules in a continuous-time model (1971)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)Why Does Stock Market Volatility Change Over Time? (1989)Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance * (2012)Pricing Derivatives on Financial Securities Subject to Credit Risk (1995)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Agency for International Development (1978)Business conditions and expected returns on stocks and bonds (1989)The Financial Theory of Defined Benefit Pension Schemes (1997)The Cohort Effect: Insights and Explanations (2004)
this work references cited by second hop

References

  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1977An equilibrium characterization of the term structure6,104 cited
  • 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation3,170 cited
  • 1939Value and Capital2,893 cited
  • 1990Pricing Interest-Rate-Derivative Securities2,168 cited
  • 1986Term Structure Movements and Pricing Interest Rate Contingent Claims1,398 cited
  • 1990A One-Factor Model of Interest Rates and Its Application to Treasury Bond Options981 cited
  • 2017From ‘Some Theoretical Problems Suggested by the Movements of Interest Rates, Bond Yield, and Stock Prices in the United States Since 1856’504 cited
  • 1952Review of the Principles of Life-office Valuations380 cited
  • 1990Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation341 cited
  • 2017Coping with the Risk of Interest-Rate Fluctuations: Returns to Bondholders From Naïve and Optimal Strategies*305 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
  • 1988

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Duration Analysis: Managing Interest Rate Risk.
95 cited
  • 1993Designing an immunized portfolio: Is M-squared the key?55 cited
  • Cited by

    • 2020Risk management with a duration gap approach12 cited