Bond’s Duration in Single-Factor Models for Short Rate

Paweł Kliber ()
Additional contact information
Paweł Kliber: Poznań University of Economic, Poland

Chapter 7 in FindEcon Monograph Series: Advances in Financial Market Analysis, 2007, vol. 5, pp 107-118 from University of Lodz

Abstract: In the Chapter 7 P. Kliber presents alternative (to duration) measures of interest rate risk derived from short rate models. The empirical evidence for their use for German bond’s market is advocated.

Keywords: Bond’s duration; Single-factor models; Short rate models (search for similar items in EconPapers)
JEL-codes: C01 E02 F00 G00 (search for similar items in EconPapers)
Date: 2007
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.repec.uni.lodz.pl/RePEc/files/findec/2007/2007_No_5_Ch_7.pdf (application/pdf)

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:ann:findec:book:y:2007:n:05:ch:07:mon

Access Statistics for this chapter

More chapters in FindEcon Chapters: Forecasting Financial Markets and Economic Decision-Making from University of Lodz Contact information at EDIRC.
Bibliographic data for series maintained by Piotr Wdowiński ().