  |
|
|
|
Origins of bond convexity
This archived discussion is "read only".
» curiousone - convexity of fixed income securities I am in the process of writing a paper about convexity measure of fixed income securities. Right now I am doing literature search. I want to know who was the first person who proposed "convexity" or "convexity measure" as a way to adjust "modified duration" so that it would better measure the percentage change in the bond price when the yield changes. I appreciate if someone would let me have the reference to the original paper. [To make my question clear, consider the case of "Macaulay Duration". You see everywhere mentioned that "the Macaulay Duration was first proposed by Frederick Macaulay, in "Some Theoretical Problems Suggested by the Movement of Interest Rates, Bond Yields, and Stock Prices in the U.S. Since 1856 (New York: National Bureau of Economic Research, 1938). I would like to find similar references for the person (or persons) who first published article(s) in which they proposed the use of "convexity measure".]-- posted by curiousone
Please follow the guidelines set forth in the Suite101 Posting Etiquette when adding to the discussion. |
|
|
|
