Hanan, Jaffal; Adnan, Yassine; Yves, Rakotondratsimba - In: Journal of finance and investment analysis 1 (2012) 2, pp. 221-248
Hedging under a parallel shift of the interest rate curve is well-known for a long date in finance literature. It is based on the use of a duration-convexity approximation essentially pioneered by Fisher-Weil [2]. However the situation is inaccurately formulated such that the obtained result is...