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Immunization of Bond Portfolios: Some New Results

Author

Listed:
  • Olivier de LA GRANDVILLE

    (University of Geneva)

Abstract

Individual and collective security are among the gauges of civilization, and at the same time they constitute necessary conditions for its progress. Their systematic pursuit is relatively recent among nations: prompted by the dreadful lessons of the 20th century, they took their present shape after World War II. Only at that time serious consideration started being given to social and economic security, which resulted into insurance and pension plans being widespread. Large savings, concomitant to decades of economic progress, were invested into default-free vehicles, by those institutions which were looking for steady, fixed, income flows. In the world of fixed exchange rates which followed the Bretton-Woods agreements, it was only natural that interest rates remained relatively stable.

Suggested Citation

  • Olivier de LA GRANDVILLE, 2002. "Immunization of Bond Portfolios: Some New Results," FAME Research Paper Series rp40, International Center for Financial Asset Management and Engineering.
    • Handle: RePEc:fam:rpseri:rp40
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    File URL: http://www.swissfinanceinstitute.ch/rp40.pdf
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    References listed on IDEAS

    as
    1. Henri LOUBERGÉ, & Harris SCHLESINGER, 2001. "Coping with Credit Risk," FAME Research Paper Series rp36, International Center for Financial Asset Management and Engineering.
    2. Bierwag, G. O., 1977. "Immunization, Duration, and the Term Structure of Interest Rates," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 12(5), pages 725-742, December.
    3. David Heath & Robert Jarrow & Andrew Morton, 2008. "Bond Pricing And The Term Structure Of Interest Rates: A New Methodology For Contingent Claims Valuation," World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 13, pages 277-305, World Scientific Publishing Co. Pte. Ltd..
    4. Henri Loubergé & Harris Schlesinger, 2005. "Coping with credit risk," Journal of Risk Finance, Emerald Group Publishing Limited, vol. 6(2), pages 118-134, April.
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    More about this item

    Keywords

    Finance; interest rates; immunization;
    All these keywords.

    JEL classification:

    • B4 - Schools of Economic Thought and Methodology - - Economic Methodology
    • C0 - Mathematical and Quantitative Methods - - General
    • E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates
    • G0 - Financial Economics - - General

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