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Mathematical finance / Interest rates / Economics / Finance / Stochastic processes / Bond valuation / Cox–Ingersoll–Ross model / Bond duration / Yield curve / Fixed income analysis / Financial economics / Bonds


Journal of Business Finance & Accounting, 27(7) & (8), Sept./Oct. 2000, 0306-686X A New Stochastic Duration Based on the Vasicek and CIR Term Structure Theories Xueping Wu*
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Document Date: 2008-10-02 11:38:35

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City

Malden / Oxford / /

Company

Cox / Blackwell Publishers Ltd. / /

Country

United Kingdom / United States / /

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Event

Debt Financing / /

Facility

City University of Hong Kong / /

Organization

City University of Hong Kong / Department of Economics and Finance / /

Person

Sanjay Srivastava / Stephen Brown / Xueping Wu / N X CF / /

Position

author / equilibrium model / because it violates the noarbitrage condition / Assistant Professor of Finance / /

ProvinceOrState

Massachusetts / /

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