A collection of historically important and hard to find academic and industry research papers relevant to yield curve analysis, fixed-income, and the capital markets.
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Explains duration and convexity in a non-mathematical framework. Illustrates the correct use of duration for hedging, swapping, and arbitrage, and demonstrates alternative weighting tools.
The influential 1995 series that popularized forward rate analysis, duration extension strategies, and convexity bias among institutional investors. Its clear explanation of complex fixed-income mathematics helped establish modern yield curve trading and relative value frameworks still used today.