Generalized M-vector models for hedging interest rate risk

Journal of Banking and Finance

Volumn 27, Issue 8, 2003, Pages 1581-1604

  Nawalkha, Sanjay K ^a   Soto, Gloria M ^b   Zhang, Jun ^c  

^a UNIVERSITY OF MASSACHUSETTS   (United States)

^b UNIVERSITY OF MURCIA   (Spain)

^c ANALYSIS GROUP   (United States)

Author keywords

Duration; Fixed income; Immunization; Interest rate; Risk management

Indexed keywords

EID: 0038309695     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4266(03)00089-X     Document Type: Article

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