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

Author

Listed:
  • Alina Kondratiuk-Janyska

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

  • Marek Kaluszka

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

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.

Suggested Citation

  • Alina Kondratiuk-Janyska & Marek Kaluszka, 2009. "On new immunization strategies under random shocks on the term structure of interest rates," Operations Research and Decisions, Wroclaw University of Technology, Institute of Organization and Management, vol. 1, pages 91-101.
  • Handle: RePEc:wut:journl:v:1:y:2009:p:91-101
    as

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    References listed on IDEAS

    as
    1. 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.
    2. 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.
    3. 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.
    4. 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 365-384.
    5. 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.
    6. 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.
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