Issue: 2009/Vol.19/No.1, Pages 91-101
ON NEW IMMUNIZATION STRATEGIES UNDER RANDOM SHOCKS ON THE TERM STRUCTURE OF INTEREST RATES
Cite as: A. Kondratiuk-Janyska, M. Kaluszka. On new immunization strategies under random shocks on the term structure of interest rates. Operations Research and Decisions 2009: 19(1), 91-101.
We introduce new measures of immunization such as exponential duration referring, in particular, to Fong and Vasiček , Nawalkha and Chambers , Balbás and Ibáñez , and Balbás et al., but under the assumption of multiple shocks in the term structure of interest rates. These shocks are given by a random field. The cases of a single and multiple liabilities are discussed separately.
Keywords: portfolio, immunization, duration, term structure of interest rates, random field