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- W3123457743 abstract "This paper extends the traditional duration measure for continuous-time Heath–Jarrow–Morton models. The result is a general Heath–Jarrow–Morton duration measure based on a zero-coupon yield for an arbitrary maturity as state variable. A convexity measure compatible to this generalized duration is derived. In addition, closed-form solutions are presented for two popular example models." @default.
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- W3123457743 date "2002-11-01" @default.
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- W3123457743 title "THE HEATH–JARROW–MORTON DURATION AND CONVEXITY: A GENERALIZED APPROACH" @default.
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- W3123457743 doi "https://doi.org/10.1142/s0219024902001687" @default.
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