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Immunization of Bond Portfolios: Some New Results

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  • Olivier de La Grandville

    (Department of Economics, The University of Geneva)

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  • Olivier de La Grandville, 2001. "Immunization of Bond Portfolios: Some New Results," Economics Discussion / Working Papers 01-26, The University of Western Australia, Department of Economics.
    • Handle: RePEc:uwa:wpaper:01-26
    as

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    File URL: https://ecompapers.biz.uwa.edu.au/paper/PDF%20of%20Discussion%20Papers/2001/01-26.pdf
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    References listed on IDEAS

    as
    1. 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.
    2. Hopewell, Michael H & Kaufman, George G, 1973. "Bond Price Volatility and Term to Maturity: A Generalized Respecification," American Economic Review, American Economic Association, vol. 63(4), pages 749-753, September.
    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. Robert Jarrow, 2017. "Derivatives," World Scientific Book Chapters, in: THE ECONOMIC FOUNDATIONS OF RISK MANAGEMENT Theory, Practice, and Applications, chapter 3, pages 19-28, World Scientific Publishing Co. Pte. Ltd..
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