Bond immunization for affine term structures Article

Barber, JR. (1999). Bond immunization for affine term structures . Financial Review, 34(2), 127-139. 10.1111/j.1540-6288.1999.tb00458.x

cited authors

  • Barber, JR

abstract

  • This paper generalizes a number of important immunization theorems. We show that the Fisher and Weil immunization, Bierwag and Khang minimax, Redington multiple liability, and Bierwag, Kaufman, and Toevs coverage theorems can be generalized to the class of affine term structures. This class of term structures contains many models that are commonly used in the finance literature. © 1999 Blackwell Publishing Ltd.

authors

publication date

  • January 1, 1999

published in

Digital Object Identifier (DOI)

start page

  • 127

end page

  • 139

volume

  • 34

issue

  • 2