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Managing interest rate risk: the next challenge?... These models can be used for designing various hedging strategies such as portfolio immunization, bond index replication, duration gap management, and contingent immunization, to protect against changes in the height, slope, and curvature of the yield...
général - core.ac.uk - PDF: citeseerx.ist.psu.edu
Immunization using a parametric model of the term structure... Contrary to most interest rate risk models, we analyse both first-order and second-order conditions for bond portfolio immunization and conclude that the key to successful protection will be to build up a bond portfolio such that the gradient of its future value is zero, and such that...
Capturing the correlations of fixed-income instruments... The superiority of the proposed approach over the traditional portfolio immunization techniques is demonstrated in the context of funding an insurance liability stream with mortgage instruments.stochastic...
 PDF: dx.doi.org

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