The development of duration analysis has proceeded at a very rapid pace over the last
quarter century years. Its usefulness as a measure of interest rate risk and in the construction …

In the summer of 1991, the first issue of The Journal of Fixed Income was published. More
than 900 articles have been published in the journal since then, educating market …

Complex financial instruments with multiple state variables often have no analytical formulas
and therefore must be priced by numerical methods, like lattice ones. For pricing convertible …

In the summer of 1991, the first issue of The Journal of Fixed Income was published. More
than 900 articles have been published in the journal since then, educating market …

Banking industry is risk management business. One specific risk is the rate of return risk
(ROR) in the banking book. This study estimates the duration gap of IBs and its determinants …

At the time of initiation, interest rate swaps are of zero market value to the counterparties
involved. However, as time passes, the market value of the swap position of counterparty …

On the Complexity of Bivariate Lattice with Stochastic Interest Rate Models Page 1
Introduction Model Definitions Preliminaries Lattice Construction Complexity of Bivariate …

This paper presents duration measures devised for the Ho‐Lee binomial bond‐pricing
stochastic process. The returns per dollar from any interest rate sensitive portfolio of …

Using the duration measures defined by Bierwag (1996), we derive the formulae of duration
far zero-coupon bonds, coupon bonds and bond portfolios under the Heath, Jarrow and …