Pregled bibliografske jedinice broj: 895179
Coupon bond duration and convexity analysis: a non calculus approach
Coupon bond duration and convexity analysis: a non calculus approach // 21st Conference of the International Federation of Operational Research Societies
Quebec, Kanada, 2017. (predavanje, međunarodna recenzija, pp prezentacija, znanstveni)
CROSBI ID: 895179 Za ispravke kontaktirajte CROSBI podršku putem web obrasca
Naslov
Coupon bond duration and convexity analysis: a non calculus approach
Autori
Gardijan, Margareta ; Kojić, Vedran ; Lukač, Zrinka
Vrsta, podvrsta i kategorija rada
Sažeci sa skupova, pp prezentacija, znanstveni
Skup
21st Conference of the International Federation of Operational Research Societies
Mjesto i datum
Quebec, Kanada, 17.07.2017. - 21.07.2017
Vrsta sudjelovanja
Predavanje
Vrsta recenzije
Međunarodna recenzija
Ključne riječi
coupon bond duration, bond convexity, non calculus
Sažetak
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.
Izvorni jezik
Engleski
Znanstvena područja
Ekonomija
POVEZANOST RADA
Ustanove:
Ekonomski fakultet, Zagreb
