Abstract
In this chapter we discuss the sensitivity of bond prices to changes in market interest rates, and the key concepts of duration and convexity.
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Selected Bibliography and References
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© 2005 Moorad Choudhry, Didier Joannas, Richard Pereira and Rod Pienaar
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Choudhry, M., Joannas, D., Pereira, R., Pienaar, R. (2005). Fixed Income Securities II: Interest-Rate Risk. In: Capital Market Instruments. Finance and Capital Markets Series. Palgrave Macmillan, London. https://doi.org/10.1057/9780230508989_5
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DOI: https://doi.org/10.1057/9780230508989_5
Publisher Name: Palgrave Macmillan, London
Print ISBN: 978-1-349-52426-6
Online ISBN: 978-0-230-50898-9
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