THE HEATH–JARROW–MORTON DURATION AND CONVEXITY: A GENERALIZED APPROACH

Manfred Frühwirth ()
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Manfred Frühwirth: Department of Corporate Finance, Vienna University of Economics and Business Administration, Augasse 2-6, 1090 Vienna, Austria

International Journal of Theoretical and Applied Finance (IJTAF), 2002, vol. 05, issue 07, 695-700

Abstract: This paper extends the traditional duration measure for continuous-time Heath–Jarrow–Morton models. The result is a general Heath–Jarrow–Morton duration measure based on a zero-coupon yield for an arbitrary maturity as state variable. A convexity measure compatible to this generalized duration is derived. In addition, closed-form solutions are presented for two popular example models.

Keywords: Risk management; Term structure of interest rates; Heath–Jarrow–Morton model; Stochastic duration; Stochastic convexity (search for similar items in EconPapers)
Date: 2002
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DOI: 10.1142/S0219024902001687

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