Modified Duration Vector under HJM Model
碩士 === 國立臺灣大學 === 財務金融學研究所 === 90 === Abstract：In the past, the study of interest rate instruments focused on constructing bond portfolios and pricing derivatives. However, when constructing portfolios investors ought to take interest rate derivatives into consideration, because their lower transact...
| Main Authors: | , |
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2002
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| Online Access: | http://ndltd.ncl.edu.tw/handle/48586466571590353019 |