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Beyond convexity

James, J; Leister, M; Rieger, C

James, J (corresponding author), Commerzbank FX, 30 Gresham St, London EC2V 7PG, England.

QUANTITATIVE FINANCE, 2021; 21 (7): 1067

Abstract

Who says fixed income is boring? 100y bonds were exhibiting price swings larger than in many speculative stocks while yields were still in a relativel......

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