Generalized M-vector models for hedging interest rate risk
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- Cooper, I. A., 1977. "Asset Values, Interest-Rate Changes, and Duration," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 12(05), pages 701-723, December.
- Vasicek, Oldrich, 1977. "An equilibrium characterization of the term structure," Journal of Financial Economics, Elsevier, vol. 5(2), pages 177-188, November.
- Prisman, Eliezer Z. & Shores, Marilyn R., 1988. "Duration measures for specific term structure estimations and applications to bond portfolio immunization," Journal of Banking & Finance, Elsevier, vol. 12(3), pages 493-504, September.
- Vasicek, Oldrich Alfonso, 1977. "Abstract: An Equilibrium Characterization of the Term Structure," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 12(04), pages 627-627, 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.
- Prisman, Eliezer Z. & Tian, Yisong, 1994. "Immunization in Markets with Tax-Clientele Effects: Evidence from the Canadian Market," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 29(02), pages 301-321, June.
- 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.
- Robert Jarrow & Stuart Turnbull, 1994. "Delta, gamma and bucket hedging of interest rate derivatives," Applied Mathematical Finance, Taylor & Francis Journals, vol. 1(1), pages 21-48.
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