Features trading strategies for a variety of asset classes and trading styles including stocks,
options, fixed income, futures, ETFs, indexes, commodities, foreign exchange, convertibles …

Purpose The purpose of this paper is to propose models of duration for maturity gap risk
management in Islamic banks. Design/methodology/approach A thorough review of …

In the following, we offer a theoretical approach that attempts to explain (Comments 1-3) why
and when the Macaulay duration concept happens to be a good approximation of a bond's …

Macaulay duration is a well-known and widely used interest rate risk measure. It is
commonly believed that it only works for parallel shifts of interest rates. We show in this …

Empirical studies report inconclusive assessment of duration‐based immunization, notably
showing that more sophisticated strategies do not outperform immunization relying on …

本文提出国债组合投资的多阶段随机规划模型, 导出基于未来利率市场不确定信息的具备动态
调整特点的国债组合主动投资策略. 该模型采用基于利率水平, 斜率和曲率" 三位一体" …

The purpose of this paper is to draw the attention of the nonsmooth analysis and
mathematical finance communities to the scope for applications of nonsmooth optimization …

We develop a framework for analyzing prepayment risk on defaultable callable bonds. We
argue that prepayment risk emanates from the following informational asymmetry: Callable …