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Hedging beyond duration and convexity

Hedging beyond duration and convexity.

By considering a representation using a Fourier-like harmonic,
empirical evidence that such a series provides our hedging
strategy on a mortgage-backed security (MBS) with the first
four principal components of yield curve.

Simulation Conference, 2002.
Proceedings of the Winter, 2002 - informs cs

J Chen, M Fu's nifty PDF.

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