Financial Futures And Immunization
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References listed on IDEAS
- Rendleman, Richard J, Jr & Carabini, Christopher E, 1979. "The Efficiency of the Treasury Bill Futures Market," Journal of Finance, American Finance Association, vol. 34(4), pages 895-914, September.
- Ingersoll, Jonathan E. & Skelton, Jeffrey & Weil, Roman L., 1978. "Duration Forty Years Later," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 13(4), pages 627-650, November.
- Don M. Chance, 1982. "An immunized‐hedge procedure for bond futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 2(3), pages 231-242, September.
- Cox, John C. & Ingersoll, Jonathan Jr. & Ross, Stephen A., 1981. "The relation between forward prices and futures prices," Journal of Financial Economics, Elsevier, vol. 9(4), pages 321-346, December.
- Chance, Don M., 1983. "Floating Rate Notes and Immunization," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 18(3), pages 365-380, September.
- Little, Patricia Knain, 1984. "Negative Cash Flows, Duration, and Immunization: A Note," Journal of Finance, American Finance Association, vol. 39(1), pages 283-288, March.
- Bierwag, G. O. & Kaufman, George G. & Toevs, Alden, 1983. "Immunization Strategies for Funding Multiple Liabilities," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 18(1), pages 113-123, March.
- Fisher, Lawrence & Weil, Roman L, 1971. "Coping with the Risk of Interest-Rate Fluctuations: Returns to Bondholders from Naive and Optimal Strategies," The Journal of Business, University of Chicago Press, vol. 44(4), pages 408-431, October.
- Capozza, Dennis R & Cornell, Bradford, 1979. "Treasury Bill Pricing in the Spot and Futures Markets," The Review of Economics and Statistics, MIT Press, vol. 61(4), pages 513-520, November.
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Cited by:
- Gary Anderson & Raymond Chiang, 1987. "Interest Rate Risk Hedging For Due-On-Sale Mortgages With Early Termination," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 10(2), pages 133-142, June.
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- Christopher A. Hessel & Lucy T. Huffman, 1983. "Incorporation Of Tax Considerations Into The Computation Of Duration," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 6(3), pages 213-215, September.
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