Naslov
A non-calculus Analysis of Macaulay’s Coupon Bond Duration Properties

Autori
Kojić, Vedran ; Lukač, Zrinka

Vrsta, podvrsta i kategorija rada
Radovi u zbornicima skupova, cjeloviti rad (in extenso), znanstveni

Izvornik
Proceedings of the 3rd International Symposium on Economics and Social Science / - Tokyo : International Business Academics Consortium (iBAC), Taipei, Taiwan, 2015, 156-168

Skup
The Third International Symposium on Economics and Social Science

Mjesto i datum
Tokyo, Japan, 22.07.2015. - 24.07.2015

Vrsta sudjelovanja
Predavanje

Vrsta recenzije
Međunarodna recenzija

Ključne riječi
bond duration ; bond duration properties ; elementary algebra ; without calculus

Sažetak
Bond duration is one of the primary risk measures for bonds. In the paper Gardijan et al., 2012, an analysis of cupon bond duration has been given. The authors have treated Macauly’s coupon bond duration without the use of differential calculus, in contrary to other literature which use calculus. However, they did not give a complete a nalysis of bond duration properties, so this paper fills that gap. Since the application of calculus may be complicated or inappropriate if the considered function is not differentiable (as is the case with the bond duration function), here the bond duration properties are proved by means of elementary algebra. This provides an easier to understand the problem and bring it to broader audience who is not necessarly familiar with tools of mathematical analysis.

Izvorni jezik
Engleski

Znanstvena područja
Matematika, Ekonomija

POVEZANOST RADA