Home / Tag Archives: Xerxes

Tag Archives: Xerxes

X

Xerxes The sensitivity of Convexity to a change in yield. The “Convexity” of Modified Duration The third derivative of a financial instrument’s value with respect to its yield. Hedging so that Xerxes equals zero is one step beyond Convexity hedging, which is itself one step beyond matching durations of one’s investment and (short) hedge portfolio. ...

Read More »