Duration, Convexity and Higher Order Hedging (Revisited)

Andrew Jeffrey

Yale School of Management Working Papers from Yale School of Management

Abstract: Here the concepts of Duration and Convexity are studied when the term structure at a single point in time generally cannot be summarized by a finite number of state variables. Hence it is unclear whether calculating Duration and Convexity from partial derivatives makes sense. In this paper definitions of Duration and Convexity are provided that circumvent this problem and consistency with traditional measures is shown. The information required to compute Duration as defined in this paper consists of the term structure and the volatility of zero-coupon bonds. Convexity addit

Date: 2001-02-01, Revised 2001-08-01
References: Add references at CitEc
Citations:

Downloads: (external link)
http://icfpub.som.yale.edu/publications/2553 (application/pdf)
Our link check indicates that this URL is bad, the error code is: 500 Can't connect to icfpub.som.yale.edu:80 (A connection attempt failed because the connected party did not properly respond after a period of time, or established connection failed because connected host has failed to respond.)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ysm:somwrk:ysm166

Access Statistics for this paper

More papers in Yale School of Management Working Papers from Yale School of Management Contact information at EDIRC.
Bibliographic data for series maintained by ().