Key Rate Durations

@inproceedings{Ho1992KeyRD,
  title={Key Rate Durations},
  author={Thomas Ho},
  year={1992}
}
  • T. Ho
  • Published 1992
  • Economics
THOMAS S.Y. HO is the President of Global Advanced Technology Corporation in New York. here are a wide variety of interest rate-contingent claims in the fixed-income securities markets: Treasuries, corporate issues, mortgage-backed securities, futures, options, rate caps and floors, swaps, and many types of Collateralized Mortgage Obligations. These securities are distinguishable from each other not just because they have different issuers or are traded in different markets. They may also be… Expand
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This paper presents a unifying theory for valuing contingent claims under a stochastic term structure of interest rates. The methodology, based on the equivalent martingale measure technique, takesExpand
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ESTIMATION AND USES OF THE TERM STRUCTURE OF INTEREST RATES
EMPIRICAL STUDIES employing the term structure of interest rates have generally suffered from the defect that yield curves have been used as surrogate measures of the term structure. A number ofExpand
On Arbitrage‐Free Pricing of Interest Rate Contingent Claims
Unlike most interest rate claim models, the Ho-Lee (1986) model utilizes full information on the current term structure. Unfortunately, the model has a major deficiency in that negative interestExpand
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Non–parallel yield curve shifts and durational leverage
La duration modifiée qui reflète la sensibilité du portefeuille aux translations des courbes de rendement peut être divisée en plusieurs durations partielles qui reflètent la sensibilité de la courbeExpand
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