Hedging against interest rate risk: Reconsidering volatility-adjusted immunization
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- 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.
- 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.
- Fong, H Gifford & Vasicek, Oldrich A, 1984. " A Risk Minimizing Strategy for Portfolio Immunization," Journal of Finance, American Finance Association, vol. 39(5), pages 1541-1546, December.
- 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.
- 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.
- G.O. Bierwag & George G. Kaufman & Cynthia M. Latta, 1988. "Duration models: a taxonomy," Staff Memoranda 88-6, Federal Reserve Bank of Chicago.
- 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 629-642, June.
- 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 408-431, October.
- 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.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- 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.
- Murphy, Austin & Kleiman, Robert & Nathan, Kevin, 1997. "The Value of convertible preferred stock in transactions with "relationship investors" like Warren Buffett," International Review of Financial Analysis, Elsevier, vol. 6(3), pages 241-256.
- 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.
- 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.
More about this item
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:jbfina:v:21:y:1997:i:2:p:127-141. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu). General contact details of provider: http://www.elsevier.com/locate/jbf .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.