Chacko, George C., Peter A. Hecht, Vincent Dessain, and Anders Sjoman. "Note on Duration and Convexity." Harvard Business School Background Note 205-025, August 2004. (Revised September 2004.) ...
and Walter P. Heller. "Mathematical Analysis and Convexity with Applications to Economics." In Handbook of Mathematical Economics, Vol. 1, edited by Kenneth J. Arrow and Michael D. Intriligator.
The recent drop in U.S. yields has raised speculation that a wave of buying of Treasury securities and derivative products ...
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