Immunization of Bond Portfolios: Some New Results

This paper publishes new results on immunization of bond portfolios.

Year of publication:	2002-02-01
Authors:	de la Grandville, Olivier
Publisher:	International Center for Financial Asset Management and Engineering (FAME)
Subject:	Immunisierung \| Zinsänderungsrisiko \| Zinsstruktur \| Term structure model \| Anleihe \| bonds

More access options

1. Basic concepts of valuation and immunization of bond portfolios in continous time
2. Immunization: a first approach
3. Protecting investors against any shift in the interest rate structure - a general immunization theorem
4. Application
5. By way of conclusion: a few suggestions

Persistent link: https://www.econbiz.de/10005843301