The deep understanding of the forces that affect the valuation, risk and return of fixed income
securities and their derivatives has never been so important. As the world of fixed income …

This paper attempts to evaluate the out-of-sample performance of an improved estimator of
the covariance structure of hedge fund index returns, focusing on its use for optimal portfolio …

The definitive guide to fixed income valuation and risk analysis The Trilogy in Fixed Income
Valuation and Risk Analysis comprehensively covers the most definitive work on interest …

Zero-coupon interest rates are the fundamental building block of fixed-income mathematics,
and as such have an extensive number of applications in both finance and economics. The …

A comprehensive framework dealing with modern yield curve risk and portfolio management
is provided. Key rate durations (KRD) are used to generate RiskMetrics cash flow mappings …

We consider the practice-relevant problem of modelling multiple price curves to support
activities such as price curve simulation and risk management. In this multi-curve setting, the …

In the current low interest rate environment, the possibility of a sudden increase in rates is a
potentially serious threat to financial stability. As a result, analyzing interest rate risk (IRR) is …

In this paper, we evaluate the relative immunization performance of the M-vector proposed
by Nawalkha and Chambers (1997)[Nawalkha, SK, Chambers, DR, 1997. The M-vector …

The effectiveness of duration and convexity hedging strategies deteriorates in the presence
of non-parallel shifts of the yield curve. In the absence of appropriate constraints, the …

This paper generalizes the M-square and M-vector models [Fong and Fabozzi, Appendix E:
Derivation of Risk Immunization Measures, in: Fixed Income Portfolio Management, Dow …