Chacko, George C., Peter A. Hecht, Vincent Dessain, and Anders Sjoman. "Note on Duration and Convexity." Harvard Business School Background Note 205-025, August 2004. (Revised September 2004.) ...

The recent drop in U.S. yields has raised speculation that a wave of buying of Treasury securities and derivative products ...

Significantly greater duration and convexity of European and UK govt bond markets versus Treasuries would also favour them, in the event easing cycles do gather pace in 2025-26. We examine why US ...

The hedge fund firm started by former Harvard endowment chief Jack Meyer is shutting down, according to communication sent Thursday to stakeholders. On Thursday, a Convexity employee contacted one ...

JP Morgan brought innovation to the prime jumbo RMBS market on Wednesday as it announced the first deal from the asset class to use a non-QM style pro rata sequential structure rather than the senior ...

This is called “negative convexity” and leaves investors with lower portfolio duration than their benchmark. While 64 per cent of outstanding mortgages are locked into interest rates below 4 ...