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Duration, Convexity and Higher Order Hedging (Revisited)

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  • Andrew Jeffrey
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    Abstract

    Here the concepts of Duration and Convexity are studied when the term structure at a single point in time generally cannot be summarized by a finite number of state variables. Hence it is unclear whether calculating Duration and Convexity from partial derivatives makes sense. In this paper definitions of Duration and Convexity are provided that circumvent this problem and consistency with traditional measures is shown. The information required to compute Duration as defined in this paper consists of the term structure and the volatility of zero-coupon bonds. Convexity addit

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    File URL: http://icfpub.som.yale.edu/publications/2553
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    Bibliographic Info

    Paper provided by Yale School of Management in its series Yale School of Management Working Papers with number ysm166.

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    Date of creation: 01 Feb 2001
    Date of revision: 01 Aug 2001
    Handle: RePEc:ysm:somwrk:ysm166

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