scientific article; zbMATH DE number 762930

zbMATH Open0893.62104MaRDI QIDQ4834784FDOQ4834784

Authors: Massimo de Felice 

Publication date: 24 August 1998

Title of this publication is not available (Why is that?)

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zbMATH Keywords

interest ratesimmunizationbond pricing

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

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• Extension of Khang's immunization formula
• A primer on duration, convexity, and immunization
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• Axiom of solvency and portfolio immunization under random interest rates
• On immunization, stop-loss order and the maximum Shiu measure.
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• Interest Rate Risk Management
• Portfolio selection strategy for fixed income markets with immunization on average
• Immunization of multiple liabilities

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