Duration Concepts, Analysis, and Applications
Author:
Publisher
Springer International Publishing
Link
https://link.springer.com/content/pdf/10.1007/978-3-030-91231-4_14
Reference67 articles.
1. Acharya, V.V., and J.N. Carpenter. 2002. Corporate bond valuation and hedging with stochastic interest rates and endogenous bankruptcy. Review of Financial Studies 15: 1355–1383.
2. Afik, Z., G. Jacoby, and Z. Wiener. 2018. Duration and globalization. The Journal of Fixed Income 28 (2): 31–43.
3. Balbás, A., and A. Ibánez. 1998. When can you immunize a bond portfolio? Journal of Banking & Finance 22: 1571–1595.
4. Balbás, A., A. Ibánez, and S. López. 2002. Dispersion measures as immunization risk measures. Journal of Banking & Finance 26: 1229–1244.
5. Bertocchi, M., R. Giacometti, and S.A. Zenios. 2005. Risk factor analysis and portfolio immunization in the corporate bond market. European Journal of Operational Research 161: 348–363.
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