Convexity: A Comparison And Reconciliation Of Its Different Forms

Louis D'Antonio and Thomas J. Cook

Journal of Financial Research, 2004, vol. 27, issue 2, 251-272

Abstract: In this article we compare and reconcile the measures of convexity presented by several authors. We also examine the effect annual and semi‐annual periods have on the relations among the various functional forms. We show that although Garbade's measure of convexity does not represent a measure of the curvature of the price‐to‐yield function, it is a critical part of other measures that do. We demonstrate the effect that different definitions can have on evaluating basic bond characteristics.

Date: 2004
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https://doi.org/10.1111/j.1475-6803.2004.t01-1-00082.x

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Persistent link: https://EconPapers.repec.org/RePEc:bla:jfnres:v:27:y:2004:i:2:p:251-272

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