The different sensitivities of Macauley duration-matching and convexity arbitrage to the parallel-shifting yieldcurve assumption
By: Steven P. Feinstein, Donald J. Smith.
Contributors: Smith, Donald J.; BostonUniversity. School of Management.
Series: Working papers series / Boston University, School of Management -- 93-15; Working papers series -- 93-15.
Publisher: Boston University, School of Management
Published: 1993
Place of publication: Boston, MA
Language: eng