Interest Rate Sensitivity of Callable Bonds and Higher-Order Approximations - Dow, Scott S.; Orfanos, Stefanos C. (Risks (Basel), 2025)
Keywords: Approximation; Arbitrage; bond agility; Bond issues; bond tilt; Federal Reserve monetary policy; Fixed income securities; higher-order approximations; Interest rates; Investment analysis; Mortgage backed securities; Municipal bonds; negative convexity bonds; Portfolio management; Prices and rates; Put & call options; Valuation; Volatility; Yield curve