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
Tags » Convexity
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
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
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