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The Performance of Deterministic and Stochastic Interest Rate Risk Measures

https://doi.org/10.2139/ssrn.1102116
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Outgoing claims: the papers this work cites, builds on, or argues with.

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Multifactor and analytical valuation of treasury bond futures with an embedded quality option
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An Introduction to Financial Derivatives
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Kalman filtering of consistent forward rate curves: a tool to estimate and model dynamically the term structure
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An analytically tractable interest rate model with humped volatility
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Review of the Principles of Life-office Valuations
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The Performance of Alternative Interest Rate Risk Measures and Immunization Strategies under a Heath-Jarrow-Morton Framework
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Coping with the Risk of Interest-Rate Fluctuations: Returns to Bondholders from Naive and Optimal Strategies
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Coping with the Risk of Interest-Rate Fluctuations: A Note
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Duration and the Measurement of Basis Risk
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Alternative Duration Specifications and the Measurement of Basis Risk: Empirical Tests
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Parsimonious Modeling of Yield Curves
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Pricing Interest-Rate-Derivative Securities
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Interest Rate Dynamics and Consistent Forward Rate Curves
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A Note on the Nelson–Siegel Family
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Term Structure Movements and Pricing Interest Rate Contingent Claims
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Numerical Methods for Unconstrained Optimization and Nonlinear Equations
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Theory of rational option pricing
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Introduction to Stochastic Calculus Applied to Finance
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Determinants of Euro Term Structure of Credit Spreads
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Duration, Convexity and Higher Order Hedging (Revisited)
inferredcites →https://doi.org/10.2307/1911242openalex-extracted
A Theory of the Term Structure of Interest Rates
inferredcites →https://doi.org/10.2307/2330252openalex-extracted
Asset Values, Interest-Rate Changes, and Duration
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Immunization, Duration, and the Term Structure of Interest Rates
inferredcites →https://doi.org/10.2307/2330309openalex-extracted
Bond Immunization When Short-Term Interest Rates Fluctuate More than Long-Term Rates
inferredcites →https://doi.org/10.2307/2330468openalex-extracted
Duration Forty Years Later
inferredcites →https://doi.org/10.2307/2951677openalex-extracted
Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
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Value and Capital: An Inquiry into Some Fundamental Principles of Economic Theory.
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Some Theoretical Problems Suggested by the Movements of Interest Rates, Bond Yields and Stock Prices in the United States Since 1856.
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Numerical Procedures for Implementing Term Structure Models I: Single-Factor Models
inferredcites →https://doi.org/10.3905/jod.1994.407908openalex-extracted
Numerical Procedures for Implementing Term Structure Models II
inferredcites →https://doi.org/10.3905/jod.2001.319162openalex-extracted
Estimation and Hedging with a One-Factor Heath-Jarrow-Morton Model
inferredcites →https://doi.org/10.4324/9781315145976-11openalex-extracted
Coping with the Risk of Interest-Rate Fluctuations: Returns to Bondholders From Naïve and Optimal Strategies*
inferredcites →https://doi.org/10.4324/9781315145976-12openalex-extracted
Coping with the Risk of Interest-Rate Fluctuations: A Note
inferredcites →https://doi.org/10.4324/9781315145976-2openalex-extracted
From ‘Some Theoretical Problems Suggested by the Movements of Interest Rates, Bond Yield, and Stock Prices in the United States Since 1856’
inferredcites →https://doi.org/10.1007/s00184-005-0017-8openalex-snapshot
Flexible Term Structure Estimation: Which Method is Preferred?
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Stochastic duration and fast coupon bond option pricing in multi-factor models
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Theory of Rational Option Pricing
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