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  • Search: subject:"Gateuax differentials"
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Cash flow valuation 1 Gateuax differentials 1 immunization 1
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Armerin, Fredrik 1
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Institutionen för fastigheter och byggande, Kungliga Tekniska Högskolan (KTH) 1
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Working Paper Series / Institutionen för fastigheter och byggande, Kungliga Tekniska Högskolan (KTH) 1
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Robust immunization
Armerin, Fredrik - Institutionen för fastigheter och byggande, Kungliga … - 2013
Using Gateuax dierentials we study how the value of a stream of cash flows is changed as the forward rate curve changes. Using this approach we are able to derive an alternative to the standard method of duration matching, and we argue why it better than ordinary duration matching. We also solve...
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