Duration, factor sensitivities, and interest rate Greeks

Oh Kwon ()

Annals of Finance, 2007, vol. 3, issue 4, 486 pages

Keywords: Interest rate risk; Duration; Stochastic duration; Factor sensitivities; E43; G11; G12 (search for similar items in EconPapers)
Date: 2007
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DOI: 10.1007/s10436-006-0055-x

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