Duration , Convexity and Multiple - factor Models

Calculating Cost Efficiency with Integer Data in the Absence of Convexity

One of the new topics in DEA is the data with integer values. In DEA classic models, it is assumed that input and output variables have real values. However, in many cases, some inputs or outputs can have integer values. Measuring cost efficiency is another method to evaluate the performance and assess the capabilities of a single decision-making unit for manufacturing current products at a min...

Data Envelopment Analysis Models In The Presence Of Ratio Data and Non-Discretionary Factors

Duration and Convexity of Zero-Coupon Convertible Bonds

Duration and convexity are important measures in fixed-income portfolio management. We have derived closed-form expressions for duration and convexity of zero-coupon convertibles, incorporating the impact of default risk, conversion option, and subordination. The overall effect is to shorten duration, while the effect on convexity is ambiguous. Both measures were found to be very different from...

Annuity factors, duration, and convexity: Insights from a financial engineering perspective

This paper applies a unified and integrative financial engineering perspective to key derived concepts in traditional fixed income analysis, with the purpose of enhancing conceptual insights and motivating computational applications. The emphasis on annuity factors and their impact on duration and convexity differs from the focus prevailing in related discussions. By decomposing the cashflow st...

Two models of inventory control with supplier selection in case of multiple sourcing: a case of Isfahan Steel Company

Selecting the best suppliers is crucial for a company’s success. Since competition is a determining factor nowadays, reducing cost and increasing quality of products are two key criteria for appropriate supplier selection. In the study, first the inventories of agglomeration plant of Isfahan Steel Company were categorized through VED and ABC methods. Then the models to supply two important kind...