For Xerxes we have a term and definition in Derivatives.

Xerxes (Derivatives)

* The sensitivity of Convexity (q.v.) to a change in yield.
* The "Convexity" of Modified Duration (q.v.).
* The third derivative of a financial instrument's value with respect to its yield.
(Source: "Derivative Mortgage Securities Glossary," Dean Witter, Mortgage Backed Securities Department, Derivative Products Group, January 1995.)
Hedging so that Xerxes equals zero is one step beyond Convexity hedging, which is itself one step beyond matching durations of one's investment and (short) hedge portfolio. In theory, such a hedge would require relatively little rebalancing.

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