Extension of Khang's Immunization Formula

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

Abstrakty

EN

The paper presents two theorems on immunization in the continuous context when a liability consists of a single outflow at a known future date. It is assumed in Theorem 1 that interest rates h(O, t) shift to their new values h * (O, t) = h(O, t) + f()..)a(t) where ).. is a random parameter "chosen" by a financial market under consideration, while a(t) is a continuous function and f()..) is twice continuously differentiable with f(O) = O, f' (O) #- O. It is proved that the local immunization is achieved and a formula for the immunizing duration is derived. Theorem 2 provides a formula for the immunizing duration of the portfolio combined with two cash flows. These two theorems extend validity of all similar type results presented by Bierwag (1983).

Słowa kluczowe

EN

cash flow; continuous shocks; local immunization; immunizing duration; term structure of interest rates

• Wydawca: Polska Akademia Nauk, Wydział IV Nauk Technicznych
• Czasopismo: Bulletin of the Polish Academy of Sciences. Technical Sciences
• Rocznik: 2001
• Tom: vol. 49, nr 3
• Strony: 527--536
• Opis fizyczny: bibliogr. 9

Twórcy

autor

Zaremba L.S.

autor

Rządkowski G.

• Systems Research Institute, Polish Academy of Sciences, Newelska 6, 01-447 Warsaw, Poland (Instytut Badań Systemowych PAN),