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Generalized M-vector models for hedging interest rate risk
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Generalized M-vector models for hedging interest rate risk (2003)Generalized M-vector models for hedging i…Immunization Using Principal Component Analysis (1996)Immunization Using Principal …An Improved Immunization Strategy: M-Absolute (1996)An Improved Immunization Stra…Designing an immunized portfolio: Is M-squared the key? (1993)Designing an immunized portfo…Key Rate Durations (1992)Key Rate DurationsThe Structure of Spot Rates and Immunization (1990)The Structure of Spot Rates a…Immunizing Default-Free Bond Portfolios with a Duration Vector (1988)Immunizing Default-Free Bond …Duration measures for specific term structure estimations and applications to bond portfolio immunization (1988)Duration measures for specifi…BOND PORTFOLIO IMMUNIZATION: TESTS OF MATURITY, ONE‐ AND TWO‐FACTOR DURATION MATCHING STRATEGIES (1987)BOND PORTFOLIO IMMUNIZATION: …A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…Alternative Duration Specifications and the Measurement of Basis Risk: Empirical Tests (1984)Alternative Duration Specific…A Risk Minimizing Strategy for Portfolio Immunization (1984)A Risk Minimizing Strategy fo…Innovations in bond portfolio management : duration analysis and immunization (1983)Innovations in bond portfolio…Asset Values, Interest-Rate Changes, and Duration (1977)Asset Values, Interest-Rate C…An equilibrium characterization of the term structure (1977)An equilibrium characterizati…THE TAX‐ADJUSTED YIELD CURVE (1975)THE TAX‐ADJUSTED YIELD CURVEMeasuring the Term Structure of Interest Rates (1971)Measuring the Term Structure …Uncertainty and the timing of an urban congestion relief investment. (2006)Uncertainty and the timing of…Immunization using a stochastic-process independent multi-factor model: The Portuguese experience (2005)Immunization using a stochast…Coping with the Risk of Interest-Rate Fluctuations: Returns to Bondholders from Naive and Optimal Strategies (1971)Duration and the Measurement of Basis Risk (1979)Default Risk and the Duration of Zero Coupon Bonds (1990)Coping with the Risk of Interest-Rate Fluctuations: Returns to Bondholders From Naïve and Optimal Strategies* (2017)Review of the Principles of Life-office Valuations (1952)Optimal portfolio choice under a liability constraint (2000)Yield Curve Modeling and Forecasting (2013)From ‘Some Theoretical Problems Suggested by the Movements of Interest Rates, Bond Yield, and Stock Prices in the United States Since 1856’ (2017)Common Factors Affecting Bond Returns (1991)Immunization derived from a polynomial duration vector in the Spanish bond market (2001)An Empirical Analysis of the Canadian Term Structure of Zero-Coupon Interest Rates (2008)An Intertemporal Capital Asset Pricing Model (1973)The Pricing of Options and Corporate Liabilities (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Value and Capital (1939)Duration and Bond Portfolio Analysis: An Overview (1978)Determining the Cash Discount in the Firm's Credit Policy (1979)The Theory of Investment Value, by John Burr Williams (1939)What Moves the Stock and Bond Markets? A Variance Decomposition for Long‐Term Asset Returns (1993)Optimum consumption and portfolio rules in a continuous-time model (1971)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Dynamic Asset Pricing Theory. (1993)Theory of rational option pricing (2005)Term Structure of Interest Rates (2008)Noise as Information for Illiquidity (2013)The Term Structure of Interest Rates as a Random Field (2000)An introduction to market risk measurement (2002)Portfolio Theory and Performance Analysis (2003)
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References

  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1977An equilibrium characterization of the term structure6,104 cited
  • 1975THE TAX‐ADJUSTED YIELD CURVE548 cited
  • 1971Measuring the Term Structure of Interest Rates542 cited
  • 1984A Risk Minimizing Strategy for Portfolio Immunization170 cited
  • 1992Key Rate Durations160 cited
  • 1988Immunizing Default-Free Bond Portfolios with a Duration Vector122 cited
  • 1983Innovations in bond portfolio management : duration analysis and immunization83 cited
  • 1977Asset Values, Interest-Rate Changes, and Duration76 cited
  • 1996Immunization Using Principal Component Analysis74 cited
  • 1988Duration measures for specific term structure estimations and applications to bond portfolio immunization69 cited
  • 1996An Improved Immunization Strategy: M-Absolute65 cited
  • 1990The Structure of Spot Rates and Immunization60 cited
  • 1993Designing an immunized portfolio: Is M-squared the key?55 cited
  • 1984Alternative Duration Specifications and the Measurement of Basis Risk: Empirical Tests52 cited
  • 1987BOND PORTFOLIO IMMUNIZATION: TESTS OF MATURITY, ONE‐ AND TWO‐FACTOR DURATION MATCHING STRATEGIES

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  • 2005Immunization using a stochastic-process independent multi-factor model: The Portuguese experience44 cited
  • 2006Uncertainty and the timing of an urban congestion relief investment.27 cited