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Duration, factor sensitivities, and interest rate Greeks

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  • Oh Kwon

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    File URL: http://hdl.handle.net/10.1007/s10436-006-0055-x
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    Article provided by Springer in its journal Annals of Finance.

    Volume (Year): 3 (2007)
    Issue (Month): 4 (October)
    Pages: 471-486

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    Handle: RePEc:kap:annfin:v:3:y:2007:i:4:p:471-486

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    Web page: http://www.springerlink.com/link.asp?id=112370

    Related research

    Keywords: Interest rate risk; Duration; Stochastic duration; Factor sensitivities; E43; G11; G12;

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    1. 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.
    2. 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.
    3. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
    4. Peter Ritchken & L. Sankarasubramanian, 1995. "Volatility Structures Of Forward Rates And The Dynamics Of The Term Structure," Mathematical Finance, Wiley Blackwell, vol. 5(1), pages 55-72.
    5. Claus Munk, 1999. "Stochastic duration and fast coupon bond option pricing in multi-factor models," Review of Derivatives Research, Springer, vol. 3(2), pages 157-181, May.
    6. Ho, Thomas S Y & Lee, Sang-bin, 1986. " Term Structure Movements and Pricing Interest Rate Contingent Claims," Journal of Finance, American Finance Association, vol. 41(5), pages 1011-29, December.
    7. Chan, K C, et al, 1992. " An Empirical Comparison of Alternative Models of the Short-Term Interest Rate," Journal of Finance, American Finance Association, vol. 47(3), pages 1209-27, July.
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