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Hedging against interest rate risk: Reconsidering volatility-adjusted immunization

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  • Carcano, Nicola
  • Foresi, Silverio
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    File URL: http://www.sciencedirect.com/science/article/B6VCY-3SWV8MS-2/2/564d3347ba25ef13965b244c870e7590
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Banking & Finance.

    Volume (Year): 21 (1997)
    Issue (Month): 2 (February)
    Pages: 127-141

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    Handle: RePEc:eee:jbfina:v:21:y:1997:i:2:p:127-141

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    Web page: http://www.elsevier.com/locate/jbf

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    References

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    1. Fisher, Lawrence & Weil, Roman L, 1971. "Coping with the Risk of Interest-Rate Fluctuations: Returns to Bondholders from Naive and Optimal Strategies," The Journal of Business, University of Chicago Press, vol. 44(4), pages 408-31, October.
    2. Michael J. Brennan and Eduardo S. Schwartz., 1979. "A Continuous-Time Approach to the Pricing of Bonds," Research Program in Finance Working Papers 85, University of California at Berkeley.
    3. Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1979. "Duration and the Measurement of Basis Risk," The Journal of Business, University of Chicago Press, vol. 52(1), pages 51-61, January.
    4. Brennan, Michael J. & Schwartz, Eduardo S., 1979. "A continuous time approach to the pricing of bonds," Journal of Banking & Finance, Elsevier, vol. 3(2), pages 133-155, July.
    5. Elton, Edwin J & Gruber, Martin J & Michaely, Roni, 1990. " The Structure of Spot Rates and Immunization," Journal of Finance, American Finance Association, vol. 45(2), pages 629-42, June.
    6. G.O. Bierwag & George G. Kaufman & Cynthia M. Latta, 1988. "Duration models: a taxonomy," Staff Memoranda 88-6, Federal Reserve Bank of Chicago.
    7. Khang, Chulsoon, 1979. "Bond Immunization When Short-Term Interest Rates Fluctuate More Than Long-Term Rates," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 14(05), pages 1085-1090, December.
    8. McCulloch, J. Huston, 1985. "Interest-risk sensitive deposit insurance premia : Stable ACH estimates," Journal of Banking & Finance, Elsevier, vol. 9(1), pages 137-156, March.
    9. Fong, H Gifford & Vasicek, Oldrich A, 1984. " A Risk Minimizing Strategy for Portfolio Immunization," Journal of Finance, American Finance Association, vol. 39(5), pages 1541-46, December.
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    Cited by:
    1. Antoniou, Antonios & Zhao, Huainan & Zhou, Bilei, 2009. "Corporate debt issues and interest rate risk management: Hedging or market timing?," Journal of Financial Markets, Elsevier, vol. 12(3), pages 500-520, August.
    2. Carcano, Nicola & Dall'O, Hakim, 2011. "Alternative models for hedging yield curve risk: An empirical comparison," Journal of Banking & Finance, Elsevier, vol. 35(11), pages 2991-3000, November.
    3. Murphy, Austin, 2000. "A comparative analysis of the price-process model of mortgage valuation," Review of Financial Economics, Elsevier, vol. 9(2), pages 65-82, December.

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