Tags » Convexity

Sell Convexity Strategy

Recall that the price of a bond with higher convexity increases more if interest rates decrease, and decreases less if interest rates increase, than does the price of a equal-duration but lower-convexity bonds. 39 more words


Understanding convexity of zero-coupon bonds heuristic

  • Macaulay durations increase linearly with maturity.
  • Convexity is approximately proportional to duration squared.
  • Coupon-paying bonds have more convexity than zero-coupon bonds of the same duration. The more widely dispersed a bond’s cash flows are around the duration point the more convexity.

Basic Notions Seminar is Back! Helly Type Theorems and the Cascade Conjecture

Kazhdan’s Basic Notion Seminar is back!

The “basic notion seminar” is an initiative of David Kazhdan who joined the Hebrew University math department  around 2000. People give series of lectures about basic mathematics (or not so basic at times). 753 more words


Jensen's Inequality

The modern philosopher Nassim Nicholas Taleb says that one should never cross a river that is on average 4 feet deep. The intuition is clear: Averages are a borderline useless metric when the payoff structure (i.e. 196 more words

The Douglas-Rachford method for convex-concave saddle point problem without ever solving a linear system

Consider the saddle point problem

(where I omit all the standard assumptions, like convexity, continuity ans such…). Fenchel-Rockafellar duality says that solutions are characterized by the inclusion… 494 more words


Cone programs and self-dual embeddings

This post aims at providing some intuition into cone programs from different perspectives; in particular:

  1. Equivalence of different formulations of cone programs
  2. Fenchel duality
  3. Primal-dual optimality conditions (OC)
  4. 731 more words
Variational Analysis


In reaction to our recent Q1 Commentary, there understandably continues to be questions surrounding the confounding lack of volatility and complacency that has pervaded global markets… 3,940 more words