A two-factor duration model for interest rate risk management
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Bibliographic InfoArticle provided by Fundación SEPI in its journal Investigaciones Economicas.
Volume (Year): 21 (1997)
Issue (Month): 1 (January)
Contact details of provider:
Postal: Investigaciones Economicas Fundación SEPI Quintana, 2 (planta 3) 28008 Madrid Spain
Web page: http://www.fundacionsepi.es/
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Richard, Scott F., 1978. "An arbitrage model of the term structure of interest rates," Journal of Financial Economics, Elsevier, vol. 6(1), pages 33-57, March.
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- 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.
- Vasicek, Oldrich A & Fong, H Gifford, 1982. " Term Structure Modeling Using Exponential Splines," Journal of Finance, American Finance Association, vol. 37(2), pages 339-48, May.
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- Elton, Edwin J & Gruber, Martin J & Michaely, Roni, 1990. " The Structure of Spot Rates and Immunization," Journal of Finance, American Finance Association, vol. 45(2), pages 629-42, June.
- Vasicek, Oldrich, 1977. "An equilibrium characterization of the term structure," Journal of Financial Economics, Elsevier, vol. 5(2), pages 177-188, November.
- Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1985. "A Theory of the Term Structure of Interest Rates," Econometrica, Econometric Society, vol. 53(2), pages 385-407, March.
- 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.
- Xavier Freixas, 1992. "Estructura temporal de tipos de interés: hipótesis teóricas y resultados empíricos," Investigaciones Economicas, Fundación SEPI, vol. 16(2), pages 187-203, May.
- Simonson, Donald G. & Stock, Duane R., 1991. "Duration mapping of thrift institution value paths: Tests of completeness," Journal of Banking & Finance, Elsevier, vol. 15(2), pages 297-314, April.
- Soto, Gloria M., 2004. "Duration models and IRR management: A question of dimensions?," Journal of Banking & Finance, Elsevier, vol. 28(5), pages 1089-1110, May.
- Díaz, Antonio & González, María de la O & Navarro, Eliseo & Skinner, Frank S., 2009. "An evaluation of contingent immunization," Journal of Banking & Finance, Elsevier, vol. 33(10), pages 1874-1883, October.
- Balbas, Alejandro & Ibanez, Alfredo & Lopez, Susana, 2002. "Dispersion measures as immunization risk measures," Journal of Banking & Finance, Elsevier, vol. 26(6), pages 1229-1244, June.
- Magdalena Massot Perelló & Juan M. Nave Pineda, 2003. "La hipótesis de las expectativas en el largo plazo: evidencia en el mercado español de deuda pública," Investigaciones Economicas, Fundación SEPI, vol. 27(3), pages 533-564, September.
- Soto, Gloria M., 2001. "Immunization derived from a polynomial duration vector in the Spanish bond market," Journal of Banking & Finance, Elsevier, vol. 25(6), pages 1037-1057, June.
- Sonia Benito & Alfonso Novales Cinca, 2005. "A factor analysis of volatility across the term structure: the Spanish case," Documentos de Trabajo del ICAE 0502, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
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