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

zbMATH Open1193.91136MaRDI QIDQ3567995FDOQ3567995

Authors: Man M. Chawla 

Publication date: 17 June 2010

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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)

Cited In (4)

• A new immunization inequality for random streams of assets, liabilities and interest rates
• Title not available (Why is that?)
• Title not available (Why is that?)
• A note on immunization under a general stochastic equilibrium model of the term structure

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