A note on immunization under a general stochastic equilibrium model of the term structure

DOI10.1016/0167-6687(85)90034-4zbMath0587.62190OpenAlexW1993762583MaRDI QIDQ1072320

Peter Albrecht

Publication date: 1985

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6687(85)90034-4

zbMATH Keywords

term structure of interest ratesstochastic differential equationsdiffusion processesIto lemmaarbitrage-free bond marketsimmunization theorem

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (7)

On the Fisher-Weil immunization theorem ⋮ Non-uniqueness of option prices ⋮ Constrained smoothing \(B\)-splines for the term structure of interest rates ⋮ A short note on immunization ⋮ Stochastic models for bond prices, function space integrals and immunization theory ⋮ Optimal management of immunized portfolios ⋮ Consistent fitting of one-factor models to interest rate data.

Cites Work

• An equilibrium characterization of the term structure
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