Real and Nominal Duration : A Multi - Dimension Hedging Strategy

  • Iraj Fooladi
  • Published 2008

Abstract

In this study we consider two different durations: (1) the real duration and (2) the nominal duration. The real duration is a measure of the sensitivity of asset or liability value to changes in the real rate of interest. The nominal duration is a measure of the sensitivity of an asset or liability value to changes in the expected rate of general price… (More)

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Cite this paper

@inproceedings{Fooladi2008RealAN, title={Real and Nominal Duration : A Multi - Dimension Hedging Strategy}, author={Iraj Fooladi}, year={2008} }