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Interest Rate Risk Modeling 2017-09-06

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This is technical but one of the most robust reviews of duration and convexity that you can find. For example

Chapter 2 Bond Price, Duration and Convexity
  • Bond Price under Continuous Compounding
  • Duration
  • Convexity
  • Common Fallacies Concerning Duration and Convexity
    • Simple Counter Examples
    • Explanation of the Fallacies
    • Applications to Callable Bonds
    • A New Graph
  • Formulas for Duration and Convexity
    • Duration and Convexity Formulas for Regular Bonds
    • Duration and Convexity Formulas for Annuities and Perpetuities
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David Harper CFA FRM
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