Coupon bond duration and convexity analysis: a non calculus approach (CROSBI ID 652362)
Prilog sa skupa u zborniku | sažetak izlaganja sa skupa | međunarodna recenzija
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