Determination of continuous shifts in the term structure of interest rates against which a bond portfolio is immunized

• Autorzy: Zaremba L. S. , Rządkowski G.
• Języki publikacji: EN

Abstrakty

EN

In this paper we identify those shifts (continuous functions) of the term structure of interest rates, against which a given bond portfolio (BP) is immunized. The set of such shifts (IMMU) happens to be an (m − 1)-dimensional linear subspace in an m-dimensional linear space of all admissible shifts. In the proof we use triangular (Lagrange) functions, by means of which we build a base for IMMU. How this IMMU space varies in response to changes in the cash flow generated by bond portfolio, BP, is also discussed in the last section of the paper.

Słowa kluczowe

EN

immunization; bond portfolios; Lagrange function

• Wydawca: Systems Research Institute, Polish Academy of Sciences
• Czasopismo: Control and Cybernetics
• Rocznik: 2016
• Tom: Vol. 45, no. 4
• Strony: 525--537
• Opis fizyczny: Bibliogr. 15 poz., rys., tab.

Twórcy

autor

Zaremba L. S.

• Institute of Finance, Vistula University, Stoklosy 3, 02-787 Warsaw, Poland

autor

Rządkowski G.

• Department of Finance and Risk Management, Warsaw University of Technology, Ludwika Narbutta 85, 00-999 Warsaw, Poland

Bibliografia

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• [11] RZĄDKOWSKI G. and ZAREMBA, L. S. (2010) Shifts of the term structure of interest rates against which a given portfolio is preimmunized. Control and Cybernetics 39, 857–867.
• [12] SCHAUDER, J. (1928) Eine Eigenschaft des Haarschen Orthogonalsystems. Mathematische Zeitschrift 28, 317–320. SEMADENI, Z. (1982) Schauder bases in Banach spaces of continuous functions. Lecture Notes in Mathematics 918, Springer Verlag, Berlin.
• [13] SOTO, G. M. (2001) Immunization derived from a polynomial duration vector in the Spanish bond market. Journal of Banking and Finance 25, 1037– 1057.
• [14] ZHENG, H. (2006) Hedging with Minimum Risk Duration. Published on the web page http://citeseerx.ist.psu.edu/viewdoc/download?doi=10.1.1.203. 5629&rep=rep1&type=PDF
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Uwagi

PL

Opracowanie ze środków MNiSW w ramach umowy 812/P-DUN/2016 na działalność upowszechniającą naukę (zadania 2017).