On immunization of investment in coupon bonds against random changes in interest rates

MaRDI QIDQ3567995zbMATH OpenFDO

Authors Man M. Chawla

Publication date 17 June 2010

zbMATH Keywords

risk managementimmunizationcoupon bondsrandom interest ratescurvature of coupon bond investmentduration of coupon bond investment

Mathematics Subject Classification ID

Portfolio theory (91G10) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Recommendations

• Some improvements in calculation and use of bond duration
• scientific article; zbMATH DE number 1996476
• Extension of Khang's immunization formula
• scientific article; zbMATH DE number 6472000
• Axiom of solvency and portfolio immunization under random interest rates

Cited in

(4)

• A new immunization inequality for random streams of assets, liabilities and interest rates
• scientific article; zbMATH DE number 6296773 (Why is no real title available?)
• scientific article; zbMATH DE number 6472000 (Why is no real title available?)
• A note on immunization under a general stochastic equilibrium model of the term structure

This page was built for publication: On immunization of investment in coupon bonds against random changes in interest rates

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3567995)