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Bond Returns, Discrete Stochastic Processes, And Duration

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  • Gerald O. Bierwag

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  • Gerald O. Bierwag, 1987. "Bond Returns, Discrete Stochastic Processes, And Duration," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 10(3), pages 191-209, September.
    • Handle: RePEc:bla:jfnres:v:10:y:1987:i:3:p:191-209
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    File URL: http://hdl.handle.net/10.1111/j.1475-6803.1987.tb00491.x
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    References listed on IDEAS

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    1. Bierwag, G O & Kaufman, George G & Latta, Cynthia M, 1987. "Bond Portfolio Immunization: Tests of Maturity, One- and Two-Factor Duration Matching Strategies," The Financial Review, Eastern Finance Association, vol. 22(2), pages 203-219, May.
    2. Brennan, Michael J. & Schwartz, Eduardo S., 1979. "A continuous time approach to the pricing of bonds," Journal of Banking & Finance, Elsevier, vol. 3(2), pages 133-155, July.
    3. Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1979. "Duration and the Measurement of Basis Risk," The Journal of Business, University of Chicago Press, vol. 52(1), pages 51-61, January.
    4. Bierwag, G O & Kaufman, George G & Toevs, Alden L, 1982. "Single Factor Duration Models in a Discrete General Equilibrium Framework," Journal of Finance, American Finance Association, vol. 37(2), pages 325-338, May.
    5. Khang, Chulsoon, 1979. "Bond Immunization When Short-Term Interest Rates Fluctuate More Than Long-Term Rates," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 14(5), pages 1085-1090, December.
    6. Michael J. Brennan and Eduardo S. Schwartz., 1979. "A Continuous-Time Approach to the Pricing of Bonds," Research Program in Finance Working Papers 85, University of California at Berkeley.
    7. Bierwag, G. O., 1979. "Dynamic portfolio immunization policies," Journal of Banking & Finance, Elsevier, vol. 3(1), pages 23-41, April.
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    Cited by:

    1. Fooladi, Iraj J. & Jacoby, Gady & Jin, Lynn, 2021. "Real duration and inflation duration: A cross country perspective on a multidimensional hedging strategy," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 70(C).

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