Concepedia

Negative Convexity

Negative Convexity is a financial risk characteristic exhibited by certain fixed-income securities, particularly mortgage-backed securities, in which the duration of the security increases as interest rates rise and decreases as interest rates fall, leading to asymmetric price sensitivity that penalizes investors more in rising rate environments than it rewards in falling rate environments.

55

Publications

4.3K

Citations

106

Authors

94

Institutions

Publications per year

2017–2026

4

Parents

Publications

55

Logarithmic Negativity: A Full Entanglement Monotone That is not Convex

Martin B. Plenio · Physical Review Letters · 2005 · 1.6K citations · Full text

, , +14

DEA models for ratio data: Convexity consideration

Ali Emrouznejad, Gholam R. Amin · Applied Mathematical Modelling · 2007 · 208 citations

, , +9

Convexity properties of solutions to some classical variational problems

Luis Caffarelli, Joel Spruck · Communications in Partial Differential Equations · 1982 · 204 citations

, , +12

General Properties of Option Prices

Yaacov Z. Bergman, Bruce D. Grundy, Zvi Wiener · The Journal of Finance · 1996 · 197 citations

, , +16

Economics of Information Systems

Jacob Marschak · Journal of the American Statistical Association · 1971 · 192 citations

, , +17

1–5 of 55

Authors

106

  1. AS
    Alexander Schied

    University of Waterloo, Canada

    3 publications · 194 citations

    3

    h-index

  2. RB
    Roger Barnard

    Texas Tech University, United States

    2 publications · 216 citations

    2

    h-index

  3. GD
    G. D. Anderson

    Michigan State University, United States

    2 publications · 216 citations

    2

    h-index

  4. JM
    Jacob Marschak

    University of California, Los Angeles, United States

    2 publications · 231 citations

    2

    h-index

  5. AA
    Aurélien Alfonsi

    CERMICS, France

    2 publications · 178 citations

    2

    h-index

1–5 of 106

Institutions

94

  1. Case Western Reserve University

    Cleveland, United States

    3 h-index

    3 publications

    119 citations

  2. Wildlife Management Institute

    Washington, United States

    2 h-index

    2 publications

    231 citations

  3. University of California, Los Angeles

    Los Angeles, United States

    2 h-index

    2 publications

    231 citations

  4. Duke University

    Durham, United States

    2 h-index

    2 publications

    22 citations

  5. University of Auckland

    Auckland, New Zealand

    2 h-index

    8 publications

    864 citations

  6. New York University

    New York, United States

    2 h-index

    2 publications

    108 citations

  7. University of Hong Kong

    Pok Fu Lam, Hong Kong

    2 h-index

    2 publications

    277 citations

  8. Queen's University

    Kingston, Canada

    2 h-index

    3 publications

    155 citations

1–8 of 94

Venues

  1. SSRN Electronic Journal

    Repository · 4 publications · 94 citations

    4

    h-index

  2. 2

    h-index

  3. The Journal of Finance

    2 publications · 277 citations

    2

    h-index

  4. Journal of Banking & Finance

    2 publications · 156 citations

    2

    h-index

  5. Transactions of the American Mathematical Society

    TRAN · 2 publications · 216 citations

    2

    h-index

1–5