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.) ...

In the roughly five years since he joined MFS, he has worked with the firm’s quant analysts to build a set of tools that model the securities’ duration and convexity (a feature of MBS price ...

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

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 ...