Interest Rates and Contracts: Duration and Convexity

This lecture covers the concepts of duration and convexity in the context of interest rate models. Duration is defined as the first-order sensitivity of bond prices to yield curve shifts, while convexity measures the second-order sensitivity. The instructor explains how to calculate duration and convexity, and how to use them for hedging bond portfolios against yield curve shifts. Through examples, the lecture demonstrates the practical application of duration and convexity in managing bond investments.