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On new immunization strategies under random shocks on the term structure of interest rates

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  • Alina Kondratiuk-Janyska

    ()
    (Center of Mathematics and Physics, Technical University of lodz, Poland)

  • Marek Kaluszka

    ()
    (Institute of Mathematics, Technical University of lodz, Poland)

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    Abstract

    We introduce new measures of immunization such as exponential duration referring, in particular, to Fong and Vasièek [7], Nawalkha and Chambers [14], Balbás and Ibánez [2], and Balbás et al. [3], but under the assumption of multiple shocks in the term structure of interest rates. These shocks are given by a random field. The cases of a single and multiple liabilities are discussed separately.

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    Bibliographic Info

    Article provided by Wroclaw University of Technology, Institute of Organization and Management in its journal Operations Research and Decisions.

    Volume (Year): 1 (2009)
    Issue (Month): ()
    Pages: 91-101

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    Handle: RePEc:wut:journl:v:1:y:2009:p:91-101

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    Web page: http://www.ioz.pwr.wroc.pl/
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    Related research

    Keywords: portfolio; immunization; duration; term structure of interest rates; random field;

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    1. Soto, Gloria M., 2001. "Immunization derived from a polynomial duration vector in the Spanish bond market," Journal of Banking & Finance, Elsevier, vol. 25(6), pages 1037-1057, June.
    2. Chambers, Donald R. & Carleton, Willard T. & McEnally, Richard W., 1988. "Immunizing Default-Free Bond Portfolios with a Duration Vector," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 23(01), pages 89-104, March.
    3. Goldstein, Robert S, 2000. "The Term Structure of Interest Rates as a Random Field," Review of Financial Studies, Society for Financial Studies, vol. 13(2), pages 365-84.
    4. Prisman, Eliezer Z. & Shores, Marilyn R., 1988. "Duration measures for specific term structure estimations and applications to bond portfolio immunization," Journal of Banking & Finance, Elsevier, vol. 12(3), pages 493-504, September.
    5. 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.
    6. D. P. Kennedy, 1994. "The Term Structure Of Interest Rates As A Gaussian Random Field," Mathematical Finance, Wiley Blackwell, vol. 4(3), pages 247-258.
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