Issue: 2009/Vol.19/No.1, Pages 91-101
ON NEW IMMUNIZATION STRATEGIES UNDER RANDOM SHOCKS ON THE TERM STRUCTURE OF INTEREST RATES
Alina Kondratiuk-Janyska
, Marek Kaluszka
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.
Abstract
We introduce new measures of immunization such as exponential duration referring, in particular, to Fong and Vasiček [7], Nawalkha and Chambers [14], Balbás and Ibáñez [2], and Balbás et al.[3], 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
Received: Accepted: