结果:找到“convexit”相关内容54个,排序为按回复时间降序,搜索更多相关帖子请点击“高级”
【非凸优化与应用】 From Convexity to Nonconvexity
11 个回复 - 4497 次查看
From Convexity to Non
convexity
Editors: R. P. Gilbert, P. D. Panagiotopoulos, P. M. Pardalos
This collection of papers is dedicated to the memory of Gaetano Fichera, a great mathematician an ...
2017-1-10 03:22 - cmwei333 - 金融学(理论版)
求助一道关于比较两个投资策略convexity的题目
0 个回复 - 786 次查看
原题如下,请大神帮忙解答 谢谢 谢谢
Assume the yield curve is initially flat (i.e. rates at all maturities are the same). Consider three Treasury bonds, with maturities of 1, 10, and 30 years.
Consi ...
2015-10-26 23:20 - ICMA_Gary - 金融学(理论版)
frm 中DV01 与 用duration convexity求债券价格大致变化
0 个回复 - 3218 次查看
在FRM考试中,首先想问一下,DV01若用久期来求,是用的修正久期还是有效久期呢?
还有在公式change in bond price/bond price= -duration*change in yield+0.5*change in yield^2*
convexity中,duration又用的是那个 ...
2015-4-4 13:59 - 铃萝 - 爱问频道
原创 duration and convexity
0 个回复 - 2009 次查看
原创:
A 6-page summary of duration, DV01, and
convexity: the derivation of their analytical formula; the relationship between those concepts; effective duration and effective
convexity
2015-1-21 14:37 - cash_king01 - Forum
cfa 1 convexity 前边的1/2
0 个回复 - 1199 次查看
请问准备考CFA level 1的各位,在复习fixed Income部分中,在计算percent of bond price change的时候,NOTES后面的习题里面的
convexity 前面不需要乘1/2的, 而我在课堂上学的公式
convexity前边要乘1/2。在考试中遇 ...
2014-11-14 12:57 - 铃萝 - 爱问频道
求助一道有关convexity adjustment的题目
1 个回复 - 5349 次查看
If an interest rate swap is priced off the Eurodollar futures strip without correcting the rates for
convexity,the resulting arbitrage can be exploited by a:
A:receive fixed swap+short Eurodollar fut ...
2010-7-8 19:28 - jeffjzx - CFA、CVA、FRM等金融考证论坛
Convexity and Exceptional Return求文献
0 个回复 - 766 次查看
【作者(必填)】Kahn, R. N., and Lochoff, R
【文题(必填)】Convexity and Exceptional Return
【年份(必填)】1990
【全文链接或数据库名称(选填)】http://www.iijournals.com/doi/pdfplus/10.3905/jpm.199 ...
2012-1-9 15:31 - 荷乃小隹 - 文献求助专区
请教关于convexity和level curve的一个问题
1 个回复 - 3074 次查看
在看the structure of economics--a mathematical analysis(上海财大出版社)英文版51页这个专题时对作者要表述的意思不是很明确:
51页倒数第8行开始解释的 the marginal value of either good (or factor) decline ...
2005-12-28 13:38 - basten - 微观经济学