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The Relationship Between Risk and Maturity In A Stochastic Setting

Publication ,  Journal Article
Zipkin, PH
Published in: Mathematical Finance
January 1, 1992

This paper explores the interest rate sensitivity of the prices of bonds and other securities when the instantaneous interest rate follows a Markov process. We show that whenever the interest rate describes a diffusion process the sensitivity of zero‐coupon bonds increases with maturity. More generally, we characterize the risk‐maturity relationship for contingent claims. This investigation yields a new property of option prices in the case where the underlying security price is a diffusion. Copyright © 1992, Wiley Blackwell. All rights reserved

Duke Scholars

Published In

Mathematical Finance

DOI

EISSN

1467-9965

ISSN

0960-1627

Publication Date

January 1, 1992

Volume

2

Issue

1

Start / End Page

33 / 46

Related Subject Headings

  • Finance
  • 4901 Applied mathematics
  • 3502 Banking, finance and investment
  • 1502 Banking, Finance and Investment
  • 0102 Applied Mathematics
 

Citation

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ICMJE
MLA
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Zipkin, P. H. (1992). The Relationship Between Risk and Maturity In A Stochastic Setting. Mathematical Finance, 2(1), 33–46. https://doi.org/10.1111/j.1467-9965.1992.tb00024.x
Zipkin, P. H. “The Relationship Between Risk and Maturity In A Stochastic Setting.” Mathematical Finance 2, no. 1 (January 1, 1992): 33–46. https://doi.org/10.1111/j.1467-9965.1992.tb00024.x.
Zipkin PH. The Relationship Between Risk and Maturity In A Stochastic Setting. Mathematical Finance. 1992 Jan 1;2(1):33–46.
Zipkin, P. H. “The Relationship Between Risk and Maturity In A Stochastic Setting.” Mathematical Finance, vol. 2, no. 1, Jan. 1992, pp. 33–46. Scopus, doi:10.1111/j.1467-9965.1992.tb00024.x.
Zipkin PH. The Relationship Between Risk and Maturity In A Stochastic Setting. Mathematical Finance. 1992 Jan 1;2(1):33–46.
Journal cover image

Published In

Mathematical Finance

DOI

EISSN

1467-9965

ISSN

0960-1627

Publication Date

January 1, 1992

Volume

2

Issue

1

Start / End Page

33 / 46

Related Subject Headings

  • Finance
  • 4901 Applied mathematics
  • 3502 Banking, finance and investment
  • 1502 Banking, Finance and Investment
  • 0102 Applied Mathematics