Sensitivity-Based Bond Portfolio Immunization with Nonparametric Term Structure Models

Author:

Lapshin Victor

Publisher

Elsevier BV

Subject

General Earth and Planetary Sciences,General Environmental Science

Reference37 articles.

1. A new class of duration measures;K T Au;Economics Letters,1995

2. When can you immunize a bond portfolio;A Balb�s;Journal of Banking and Finance,1998

3. Hedging interest rate risk by optimization in Banach spaces;A Balb�s;Journal of Optimization Theory and Applications,2007

4. Dispersion measures as immunization risk measures;A Balb�s;Journal of Banking and Finance,2002

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