To immunize an insurance company's surplus against interest-rate fluctuations, asset-
liability managers commonly adopt the so-called classical immunization strategy to set the …

Abstract The Derivatives Sourcebook is a citation study and classification system that
organizes the many strands of the derivatives literature and assigns each citation to a …

Empirical studies report inconclusive assessment of duration-based immunization, notably
showing that more sophisticated strategies do not outperform immunization relying on …

A model of a term structure of interest rates is conceived in which disturbances are unknown
and bounded. Arbitrage opportunities are ruled out by imposing suitable constraints to the …

Cosa è il rischio, cosa rappresenta in particolare per un'impresa e come va affrontato? Al
tema fino a non molti anni or sono non veniva dedicato grande spazio né dalla teoria …

An immunization problem is considered in which a bond portfolio is to be periodically
rebalanced. Max–min optimal control is applied to the problem. The target is to maximize the …

To hedge the interest-rate risk against a firm's surplus, insurance companies commonly set
the firm's asset duration equal to the debt ratio times the firm's liability duration. However …

Using the duration measures defined by Bierwag (1996), we derive the formulae of duration
far zero-coupon bonds, coupon bonds and bond portfolios under the Heath, Jarrow and …

Interest rate derivatives are instruments whose payoffs depend in some way on interest
rates. To price them, it involves constructing a model to describe the probabilistic behavior of …

在一元利率模型中, 所有的有價證券及利率皆決定於一個變數, 也就是短期利率.
市場的殖利率及其變動性則用來建立未來的短期利率樹, 這個動作稱為& 棍縑這數可以用來對 …