In this paper, we define duration for a financial operation with a random number of cash-flows and prove some general results. Then, we introduce other duration indices and prove some appealing relationships among them. Finally, we consider a bond issue and prove further results about duration in this particular case.
Alcune osservazioni su indici di durata per operazioni finanziarie di scadenza finale aleatoria
SALINELLI, Ernesto
1990-01-01
Abstract
In this paper, we define duration for a financial operation with a random number of cash-flows and prove some general results. Then, we introduce other duration indices and prove some appealing relationships among them. Finally, we consider a bond issue and prove further results about duration in this particular case.File in questo prodotto:
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