EFZG working paper series, No. 01, 2015.
Ostalo
Analysis of bond convexity properties without the use of calculus
Vedran Kojić
; Ekonomski fakultet - Zagreb
Sažetak
In the paper Gardijan, M., Kojić, V., Šego, B. (2012) Bond Duration: Propositions and Applications. In: Aljinović, Z., Marasović, B., ed., in Mathematical models in analysis of the Croatian financial market, an analysis of cupon bond duration has been given, which is one of the primary risk measures. Another very important risk measure is bond convexity. To the best of our knowledge, the literature gives only descriptive explanations of bond convexity, without mathematical proofs. Thus, the aim of this paper is to give bond convexity analysis, and also give corresponding mathematical proofs. Since the use of calculus is very complicated, the bond convexity properties are proved by using elementary algebra, which is easier to understand to those who are not familiar with mathematical analysis.
Ključne riječi
bond duration; convexity duration; bond convexity properties; elementary algebra; without calculus
Hrčak ID:
136092
URI
Datum izdavanja:
10.3.2015.
Posjeta: 1.208 *