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Coupon bond duration and convexity analysis: a non calculus approach (CROSBI ID 652362)

Prilog sa skupa u zborniku | sažetak izlaganja sa skupa | međunarodna recenzija

Gardijan, Margareta ; Kojić, Vedran ; Lukač, Zrinka Coupon bond duration and convexity analysis: a non calculus approach. 2017

Podaci o odgovornosti

Gardijan, Margareta ; Kojić, Vedran ; Lukač, Zrinka

engleski

Coupon bond duration and convexity analysis: a non calculus approach

Coupon bond duration and convexity with respect to coupon-rate (cet. par.), yield to maturity (cet. par.) and maturity (cet. par.) are not the continuous functions nor differentiable, so the calculus analysis of duration and convexity becomes questionable. They are rather sequences of real numbers, so deriving the properties of bond duration and convexity by using calculus is not justified. In this presentation, we have analyzed bond duration and convexity properties by using non-calculus approach.

coupon bond duration, bond convexity, non calculus

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Podaci o prilogu

2017.

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Podaci o matičnoj publikaciji

Podaci o skupu

21st Conference of the International Federation of Operational Research Societies

predavanje

17.07.2017-21.07.2017

Quebec, Kanada

Povezanost rada

Ekonomija