Generalized duration measures in a risk immunization setting. Implementation of the Heath–Jarrow–Morton model (Q3414648)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Generalized duration measures in a risk immunization setting. Implementation of the Heath–Jarrow–Morton model |
scientific article |
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Generalized duration measures in a risk immunization setting. Implementation of the Heath–Jarrow–Morton model (English)
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10 January 2007
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asset-liability portfolio
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immunization
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duration
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\(M\)-absolute
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one-factor HJM models
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