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Immunization derived from a polynomial duration vector in the Spanish bond market

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Author Info
Soto, Gloria M.

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File URL: http://www.sciencedirect.com/science/article/B6VCY-4319N8Y-2/2/cb07f258b50d45d61e7d65a25edde27e
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Article provided by Elsevier in its journal Journal of Banking & Finance.

Volume (Year): 25 (2001)
Issue (Month): 6 (June)
Pages: 1037-1057
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Handle: RePEc:eee:jbfina:v:25:y:2001:i:6:p:1037-1057

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  1. Leo Krippner, 2005. "Attributing Returns and Optimising United States Swaps Portfolios Using an Intertemporally-Consistent and Arbitrage-Free Model of the Yield Curve," Working Papers in Economics 05/03, University of Waikato, Department of Economics. [Downloadable!]
  2. Leo Krippner, 2005. "An Intertemporally-Consistent and Arbitrage-Free Version of the Nelson and Siegel Class of Yield Curve Models," Working Papers in Economics 05/01, University of Waikato, Department of Economics. [Downloadable!]
  3. Leo Krippner, 2003. "Modelling the Yield Curve with Orthonomalised Laguerre Polynomials: An Intertemporally Consistent Approach with an Economic Interpretation," Working Papers in Economics 03/01, University of Waikato, Department of Economics. [Downloadable!]
  4. Leo Krippner, 2005. "Investigating the Relationships between the Yield Curve, Output and Inflation using an Arbitrage-Free Version of the Nelson and Siegel Class of Yield Curve Models," Working Papers in Economics 05/02, University of Waikato, Department of Economics. [Downloadable!]
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This page was last updated on 2009-12-3.

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