[图书][B] 151 Trading Strategies

Z Kakushadze, JA Serur - 2018 - Springer
Features trading strategies for a variety of asset classes and trading styles including stocks,
options, fixed income, futures, ETFs, indexes, commodities, foreign exchange, convertibles …

Duration model for maturity gap risk management in Islamic banks

SAA Shah, R Sukmana, BA Fianto - Journal of modelling in …, 2020 - emerald.com
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 …

[PDF][PDF] Does Macaulay duration provide the most cost-effective immunization method–A theoretical approach

L Zaremba - Foundations of Management, 2017 - sciendo.com
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 durations for nonparallel shifts

H Zheng - Annals of Operations Research, 2007 - Springer
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 …

The mean–variance (in) efficiency of duration‐based immunization

P François, F Moraux - International Review of Finance, 2024 - Wiley Online Library
Empirical studies report inconclusive assessment of duration‐based immunization, notably
showing that more sophisticated strategies do not outperform immunization relying on …

基于多阶段随机规划模型的国债动态积极投资策略

尹力博, 韩立岩 - 中国管理科学, 2015 - zgglkx.com
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" …

Some finance problems solved with nonsmooth optimization techniques

RB Vinter, H Zheng - Journal of optimization theory and applications, 2003 - Springer
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 …

Prepayment risk on callable bonds: theory and test

P François, S Pardo - Decisions in Economics and Finance, 2015 - Springer
We develop a framework for analyzing prepayment risk on defaultable callable bonds. We
argue that prepayment risk emanates from the following informational asymmetry: Callable …

[引用][C] Nelson-Siegel 久期配比免疫模型的改进与完善

王志强, 康书隆 - 数量经济技术经济研究, 2010

[引用][C] 利率风险管理的重要免疫工具: 持续期模型

王志强, 张姣 - 财经问题研究, 2005